Chinese A-Share Screening by Intraday Range and Relative Volume

Summary

This screening rule looks for Chinese A-shares with a daily high-low range of at least 1% and relative volume between 1.5 and 6, while excluding stocks from Beijing and Tianjin markets. The article frames the range condition as a way to find more active price movement and the volume filter as a way to focus on trading activity that is elevated but not extreme.

The document provides an indicator formula and a Python example, but no backtest or performance evidence. It cautions that the screen relies on technical measures and excludes markets based on region, potentially overlooking otherwise suitable stocks. It suggests adding fundamental information and evaluating or tuning the conditions against historical data; those steps are proposals rather than demonstrated improvements. The code and written conditions should also be reconciled before implementation, since the example's range comparison does not match the stated threshold.

Key ideas

• The screen requires a daily high-low range of at least 1%.
• Relative volume must be between 1.5 and 6.
• Stocks from Beijing and Tianjin markets are excluded.
• The document reports no performance test and recommends adding fundamentals and checking the rules against historical data.

Tags

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