A-Share Stock Screening by Volatility, Price, and Recent Returns

Summary

This note describes a short-term A-share screening idea using daily price range, a specified closing price, and a positive recent return. It outlines selecting stocks with an intraday range above a threshold, a closing price of 18.5 yuan, and positive return, then sorting by trading value. A code example calculates the range relative to the high and checks the prior-day return; it also derives an open-to-close measure for sorting selected stocks.

The author flags that a fixed share price says little about underlying value and that short-term returns can be distorted by market fluctuations. Suggested refinements include adding company fundamentals and replacing the simple return condition with relative strength or a positive ten-day return. The note provides no backtest, performance evidence, or detailed trading and risk rules, so it presents a screening concept rather than a validated strategy. Its initial description and code do not fully align with the later proposed refinements.

Key ideas

• The screen combines an intraday range threshold, a fixed closing price, and positive recent return.
• The code sorts qualifying shares by an open-to-close price measure.
• The author suggests adding fundamentals and testing alternative return measures.
• The document provides no performance evaluation or complete trading rules.

Tags

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