A-share Stock Screen Using Intraday Range, Volume Ratio, and Opening Gap

Summary

The document presents an A-share screening rule combining intraday price range, relative volume, and the opening gap. It seeks stocks whose high-to-low range exceeds 1%, whose volume ratio is between 1.5 and 6, and whose price increase at 9:25 is below 6%. The rationale is to find stocks with meaningful movement and active, but not extreme, trading while avoiding large early gains.

The post includes formula and Python examples, but the Python snippet uses minute data for an index and its range condition conflicts with the stated threshold, so the implementation may not faithfully reproduce the described stock screen. No backtest or return evidence is supplied. The author acknowledges that the narrow filter can miss stocks with relevant catalysts and suggests adding technical or fundamental factors; the claimed suitability for longer-term investing is not supported with performance analysis.

Key ideas

• The proposed screen combines a price range above 1%, a volume ratio from 1.5 to 6, and an opening gain below 6%.
• The stated rationale is to select active stocks while filtering out unusually large early advances.
• The Python example appears inconsistent with the written range threshold and uses index minute data.
• The document provides no backtest evidence and notes that the screen may miss opportunities or ignore other relevant factors.

Tags

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