A-Share Stock Screen Using Price Range, Relative Volume, and Shape

Summary

The document proposes a Chinese A-share screening rule combining daily price amplitude, relative volume, and a price-shape condition described as a rounded or arc-like move. Its narrative specifies amplitude above one percent and a volume ratio between 1.5 and 6, where volume is compared with a five-day average. The shape filter uses an arctangent expression involving the high-low range and the distance between the close and prior close. The stated rationale is to find stocks with notable movement and active, but not extreme, trading volume.

The author cautions that technical filters alone may miss financial risks and suggests adding fundamental measures, multiple factors, trend and return measures, and stop-loss controls. The formula examples are inconsistent: the screening logic and indicator expression require amplitude at least one percent, while the Python example uses an amplitude less than one percent. The post offers no backtest or risk-adjusted results, and the arc condition and its economic rationale are not validated in the text.

Key ideas

• The proposed screen combines price amplitude, volume relative to a five-day average, and a geometric price-shape filter.
• The narrative calls for amplitude above one percent and relative volume between 1.5 and 6.
• The Python example reverses the amplitude condition, creating a material inconsistency in the rule.
• The author recommends combining technical filters with fundamental factors and risk controls.
• No performance tests are supplied, so the screen’s effectiveness is not established.

Tags

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