A-Share Stock Screening by Volatility, Recent Gains, and Turnover

Summary

This A-share screening idea combines a price-range condition, a recent large daily gain, and a minimum prior-day trading value. The post initially specifies an amplitude above 1, at least one daily gain of 10% or more within the last 25 sessions, and prior-day turnover value above 60 million. It explains that the price conditions target technical behavior while the trading-value threshold aims to avoid illiquid stocks.

The article also proposes refining the screen with profitability or valuation measures, additional indicators such as MACD, and more flexible liquidity criteria. Its final description lowers the trading-value threshold to 40 million and mentions fundamentals, but leaves these additions underspecified. Example formulas use ATR and volume in ways that do not exactly match the stated screen. No backtest, performance evidence, precise amplitude definition, or complete implementation is supplied, so the rules should be treated as a rough screening sketch. The post notes that omitting fundamentals can admit low-quality companies and that a high liquidity cutoff may exclude growing firms.

Key ideas

• The initial screen combines amplitude above 1 with a 10% or larger daily gain during the prior 25 sessions.
• It requires prior-day trading value above 60 million, while the later proposed version lowers that threshold to 40 million.
• The rationale is to combine price activity with a liquidity filter.
• The author suggests adding fundamental measures and more technical indicators, but does not specify complete rules for them.
• The article provides no performance tests and warns that the screen may select weak businesses or exclude potential growth stocks.

Tags

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