A-Share Stock Screening by Intraday Range, Recent Highs, and Opening Gap

Summary

This post describes an A-share screening recipe combining a price-range condition, exclusion of stocks marked ST, a five-session closing-high condition, and a limit on the stock’s price increase at 9:25. It also says to select stocks before 10:00. The accompanying Python example sketches how to calculate these filters from daily stock data, including a comparison with the previous close for the opening indication. The post does not provide backtest results or evidence that the filters predict returns.

The author notes that the 9:25 price can reflect market sentiment and that stocks below the stated opening increase threshold may still perform poorly afterward. The example’s calculations and the prose are not fully aligned: the code uses a rolling close maximum and computes an amplitude-like measure, while the written rules are terse. Treat the strategy as an illustrative screening concept; the document gives no evaluation of execution, transaction costs, survivorship, or out-of-sample performance.

Key ideas

• The screen combines a price range threshold with an exclusion for ST-designated stocks.
• It selects stocks at a five-session closing high and limits the indicated gain at 9:25.
• The post suggests applying the screen before 10:00.
• The author warns that opening prices can reflect sentiment and do not ensure later strength.
• No performance evidence or backtest results are presented.

Tags

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