Screening A-Shares for High Amplitude, Volume, and Turnover

Summary

This note describes a stock-selection screen combining daily price amplitude above one percent, current volume above ten thousand lots, a higher open, and prior-day turnover above eight percent. It interprets amplitude and volume as signs of active trading, and high turnover as a measure of market interest. The document provides example indicator and Python implementations, but does not report a backtest or performance results.

The rationale that a higher open may be followed by further gains is asserted rather than supported with evidence. The author notes that the rule uses few indicators and may overlook broader market conditions, company fundamentals, and other influences on prices. Suggested extensions include fundamental data, market context, and technical indicators; risk controls are also advised. The code examples should be checked carefully: the stated higher-open condition is not clearly represented by the formula shown, and the Python example’s data handling does not establish that every filter is applied as described.

Key ideas

• The screen combines amplitude, current trading volume, a higher open, and previous-day turnover.
• The note interprets these filters as proxies for volatility and trading activity.
• It provides example implementations but no reported backtest or evidence of profitability.
• The rationale for following a higher open is not substantiated in the document.
• The author suggests incorporating market context and fundamentals, and applying risk controls.

Tags

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