A-Share Screening with Large Daily Moves and Elevated Volume

Summary

This document describes a Chinese equity screen combining intraday range, a recent large daily gain, and elevated but bounded relative volume. The refined criteria look for range above 1, at least one daily gain of 10% or more within the past 25 trading days, and a volume ratio between 1.5 and 6. It also suggests checking broader market conditions and financial fundamentals alongside the screen.

The rationale is to find volatile, actively traded shares while limiting candidates with unusually extreme volume. The text flags reliance on recent technical data, potential conflicts among filters, and neglect of longer-term fundamentals or market depth. It provides indicator formula and Python examples, but their implementations are not fully consistent with the stated lookback and volume-ratio definitions. No backtest, performance data, or evidence that the screen predicts returns is presented.

Key ideas

• The screen combines price range, a recent daily gain threshold, and a bounded volume ratio.
• The stated refined volume-ratio interval is 1.5 to 6.
• The author recommends supplementing technical filters with market and fundamental context.
• The examples do not establish performance and may not precisely implement the written criteria.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.