Screening for High-Amplitude A-Shares After a Sharp Daily Decline

Summary

The proposed stock screen excludes Beijing-listed A-shares, selects stocks with intraday amplitude above 1%, and focuses on a daily maximum decline between 4% and 5%. The accompanying explanation treats larger intraday ranges as possible trading opportunities and the decline band as a potential pullback. It includes formula and Python examples, though the code shown does not consistently implement the written conditions: the Python condition checks for a rise above the previous close as well as a fall below it.

The document warns that a single day’s move does not establish a stock’s quality, and that high volatility, long-term trend, company fundamentals, and broader economic conditions matter. It proposes adding longer-term trend and fundamental checks and avoiding immediate pursuit of sharp moves. It supplies no backtest, sample results, or evidence that the screen predicts reversals, so it should be treated as an unvalidated candidate filter.

Key ideas

• The proposed rules exclude Beijing A-shares, require amplitude above 1%, and target a maximum daily decline within a stated band.
• The rationale interprets a sharp decline as a possible pullback opportunity, but gives no evidence of predictive value.
• The example Python condition does not match the written decline filter because it also requires an intraday high above the previous close by 5%.
• The discussion recommends considering longer-term trends, fundamentals, volatility, and macroeconomic conditions.

Tags

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