A-Share Screening with Relative Volume, Bollinger Bands, and Opening Gain

Summary

This note presents a Chinese-equity screening approach that ranks stocks by relative volume and selects prices between the middle and upper Bollinger Bands, while also considering an early-session gain threshold. Its initial description uses a gain below 6%, but the later proposed final rules change that threshold to below 3% and add a bullish MACD condition, leaving the intended specification inconsistent. The code excerpt is incomplete, so it does not provide a fully reproducible implementation.

The rationale is to combine trading activity, price position within a volatility band, and short-term price movement. The author notes that using several filters can increase mistaken selections and that selected stocks may be volatile, and suggests stricter thresholds or additional indicators. No historical test, results, or evidence of profitability is reported; the criteria should therefore be treated as an unvalidated screen whose definitions need clarification.

Key ideas

• The initial screen ranks stocks by relative volume and selects closing prices between the Bollinger middle and upper bands.
• The opening-gain cutoff differs between the initial description and the later proposed rules.
• The later rules also add a bullish MACD filter, but the example implementation is truncated.
• The author flags misclassification and volatility risks from combining indicators.
• No backtest or performance evidence is provided.

Tags

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