Screening Stocks by Daily Amplitude and Relative Trading Volume

Summary

This note describes a short-term A-share screen using daily amplitude above 1% and relative volume between 1.5 and 6, measured against a five-day average. The article's stated logic adds an exact closing-price condition of 18.5, and it characterizes the resulting group as active, potentially smaller stocks. Example formula and Python snippets are included, though the code does not consistently implement the stated amplitude threshold or price and volume conditions.

The article warns that focusing on price and technical measures leaves fundamentals unexamined, that the selected stocks may be uncertain, and that frequent trading can raise transaction costs. It suggests adding other technical or external variables, but supplies no backtest, evidence of returns, or tested optimization. The exact-price filter and short-term framing therefore describe a proposed screen rather than a validated strategy.

Key ideas

• The proposed screen uses amplitude above 1% and relative volume between 1.5 and 6.
• The stated selection logic also requires a closing price of 18.5.
• The examples do not consistently match the written thresholds and conditions.
• The note provides no performance test and identifies fundamental risk and transaction costs as concerns.

Tags

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