Short-Term A-Share Screening with Volatility, Position Changes, and Valuation

Summary

This note proposes a short-term Chinese A-share screen using daily price range, location, and a reported increase in positions. Its initial conditions seek stocks with intraday amplitude above 1%, exclude Beijing-listed shares, and require today’s position increase ratio to exceed 5%. The expanded version adds a price deviation limit relative to a moving average and suggests ranking with company and industry valuation information. Formula and Python examples are included, though their variables and calculations are not consistently explained.

The author frames the screen as a way to find stocks with short-term upward potential, but provides no backtest, trade outcomes, or evidence of predictive value. The note flags risks from focusing on short horizons, omitting fundamentals, and relying heavily on price or event reactions. It recommends adding liquidity, valuation, financial, industry, and risk considerations. The examples should be treated as a proposal requiring clear definitions and validation before use.

Key ideas

• The initial screen combines price amplitude, geographic exclusion, and a daily position-change threshold.
• The expanded approach adds a moving-average proximity condition and valuation-related ranking inputs.
• The note proposes considering financial condition, industry context, liquidity, and risk.
• No backtest or trading results are provided to demonstrate predictive performance.
• The formula and code examples require careful interpretation and validation.

Tags

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