Combining Price Action and Trend Filters in an A-Share Selection Screen

Summary

The proposed A-share screen combines high amplitude, a rising price base, and a prior-day 9:15 matching price at or near the daily lower limit. It adds a medium-term trend filter requiring the 20-day moving average to exceed the 250-day average, excludes special-treatment stocks, and describes exits below the 30-day average or after a daily decline beyond 8%. The post also gives indicator-formula and partial Python examples.

The author notes that the initial signals rely on price behavior and sentiment rather than company fundamentals, and suggests adding valuation, growth, industry, volume, or capital-flow measures. No backtest or returns are reported. The supplied code has potential inconsistencies: some expressions appear malformed or differ from the described rules, and the stated market capitalization condition is not explained consistently. The selection logic should therefore be treated as an unvalidated sketch, not evidence that the setup predicts gains.

Key ideas

• The screen combines amplitude, a rising base, and a previous-session matching-price limit-down signal.
• It uses the 20-day versus 250-day moving-average relationship as a trend filter.
• The proposed exits use the 30-day moving average or a daily loss threshold of 8%.
• The author flags the lack of fundamental analysis and suggests adding company and industry measures.
• The document reports no backtest, and its code may not faithfully implement the described conditions.

Tags

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