Stock Screening with Large-Cap, Volume, Volatility, and Gap Filters

Summary

This screen looks for stocks with a circulating market value above 10 billion yuan, current volume above 10,000 lots, an intraday amplitude above 1, and an opening price above the prior close. The proposed combination uses market size, trading activity, volatility, and a positive opening gap to identify shares that may have upward momentum. The document includes indicator-formula and Python examples.

The author notes that high opening prices and volume may produce misleading signals, while high volatility and activity can bring added risk. Suggested refinements include adding measures such as relative strength or moving averages and evaluating the rules on historical data. No backtest findings or evidence of profitability are reported. The written conditions and examples also differ in places: the formula and Python sample add a 3% opening-gap threshold, which is not stated in the prose, and the amplitude calculation is not clearly aligned with the stated threshold. These inconsistencies need resolution before reproducing the screen.

Key ideas

• The screen combines a market-value floor, a volume floor, an amplitude threshold, and an opening gap above the prior close.
• The document presents the combination as a way to capture potentially strong price action.
• High volume, volatility, and gap openings can also increase risk and create false signals.
• Historical evaluation and additional technical measures are suggested, but no results are supplied.
• The examples add or calculate conditions differently from the prose, so the exact rule is ambiguous.

Tags

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