A-Share Stock Screening with Price, Range, and Momentum Filters

Summary

The document describes an A-share stock screen combining daily price range, a closing price of 18.5 yuan, and a recent high. Its proposed expanded version adds a five-day high condition, a bullish MACD crossover, and an overbought KDJ reading. The accompanying discussion frames these as volatility, price-level, and technical filters, and suggests broadening the analysis with company fundamentals, other indicators, and a longer lookback period.

It provides indicator formula examples and a Python sketch, but no backtest, performance results, or evidence that the criteria predict returns. The examples also differ in some details: the opening description mentions a two-day high, while later sections use five days, and the Python sample applies some conditions to market index data. An exact closing-price filter is restrictive, and an overbought reading can reflect strength or a reversal risk. Treat the screen as an illustrative rule set requiring implementation checks and empirical testing.

Key ideas

• The screen combines a price-range threshold with an exact closing-price condition and a recent-high filter.
• A later version adds a five-day high, a bullish MACD crossover, and an overbought KDJ condition.
• The document suggests adding fundamental measures and other technical filters for broader evaluation.
• It identifies short-term volatility and the narrow price criterion as limitations.
• The provided examples contain inconsistent lookback descriptions and implementation details that need checking.

Tags

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