Screening A-Shares with Volatility and Bollinger Band Position

Summary

This proposed screen selects stocks with a daily high-low range above a threshold, excludes Beijing-listed A-shares, and requires the close to lie below the Bollinger upper band but above its middle band. The article gives example indicator and Python implementations using a 20-period Bollinger calculation, alongside an amplitude filter. It also describes the intended position as a price within the upper half of the band, rather than a close above the upper band.

The article warns that a technical-only screen can miss fundamental risks, may be distorted by sharp price moves, and can produce a small candidate set. It recommends combining technical and fundamental information and adjusting parameters to market conditions, but its stated revised rules do not fully match the earlier Bollinger-based screen. No backtest or evidence of returns is presented, and the code is explicitly offered as a reference. The logic should therefore be checked for consistency and tested before use.

Key ideas

• The screen combines a high-low amplitude threshold with a Bollinger Band location condition.
• It excludes Beijing A-shares and selects closes between the middle and upper bands.
• The examples use a 20-period Bollinger calculation and provide sample implementation logic.
• The author identifies missing fundamentals, distorted signals, and a potentially small selection as risks.
• The document provides no performance testing, and its revised rules do not fully preserve the original technical conditions.

Tags

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