A-Shares Screen for Intraday Volatility and Gains

Summary

This Chinese-language post describes a daily stock screen for mainland China main-board shares. It selects stocks with an intraday amplitude above 1, a session low more than 4% but less than 5% below the previous close, and a daily gain above 1. The accompanying explanation frames these conditions as a combination of short-term volatility and positive price movement, with the main-board restriction intended to favor liquidity and more stable fundamentals.

The post also includes a sample implementation outline and discusses possible refinements, such as adding MACD or RSI and reviewing company fundamentals. Its code and narrative do not provide backtest results or establish that the screening conditions predict returns. The author flags market and sentiment risk and advises additional risk controls; the thresholds are stated, but the method for measuring daily gain and the behavior across different market regimes are not validated.

Key ideas

• The screen combines an intraday range condition with a specified session-low drawdown band.
• It additionally requires a positive daily gain and limits candidates to main-board shares.
• The post suggests technical indicators and fundamental review as possible filters.
• It provides no backtest evidence that the selection rules produce positive returns.
• Market and sentiment risks remain, especially during volatile conditions.

Tags

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