A-Share Stock Screen Using Prior-Day Amplitude, Trading-List Activity, and Returns

Summary

The document presents a Chinese A-share screening idea that combines prior-day price amplitude, appearance on the previous day’s trading activity list, and a current-day price-rise condition. It frames amplitude as a measure of short-term movement and the trading-list appearance as a sign of unusual capital activity. It includes illustrative formula and Python references for calculating amplitude, retrieving trading-list data, and intersecting candidate sets.

The rules are described as a way to identify active stocks, but the document supplies no backtest, return series, or evidence that the screen predicts future performance. It also acknowledges reversal and broad-market risks, and says the selection omits company fundamentals. The written condition specifies a stock gain above one percent, while the included code compares the stock return with a Boolean derived from whether the broad index rose more than one percent; this makes the implementation differ from the stated rule and warrants validation before use.

Key ideas

• The proposed screen combines prior-day amplitude, prior-day trading-list inclusion, and a current-day price condition.
• The document presents amplitude and unusual trading-list activity as indicators of short-term stock interest.
• The included references show how to construct candidate sets from market data.
• The screen omits company fundamentals and may be affected by market reversals and broad-market risk.
• The code’s return comparison does not directly implement the written requirement that a stock rise by more than one percent.

Tags

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