Volatility and Volume Filters for Recent A-Share Price Movers

Summary

This A-share screen looks for stocks with daily price amplitude above 1%, a volume ratio between 1.5 and 6, and at least one daily gain of 10% or more during the preceding 25 trading days. The stated logic seeks active but not extreme trading and recent evidence of a large price move. The document frames the result as a list of potentially volatile or popular stocks, rather than as a fully specified entry and exit strategy.

No backtest results or measured performance are given. The note warns that market conditions can change the screen’s effectiveness, the selected shares may be volatile, and the rules omit company fundamentals and wider market context. It recommends adding fundamental analysis and other technical indicators, and adapting thresholds to market conditions. The accompanying code uses a volume-to-share-count calculation that may not match the volume-ratio definition in the stated rules, so the example should not be considered a verified implementation.

Key ideas

• The screen requires amplitude above 1%, a volume ratio between 1.5 and 6, and a gain of at least 10% on one day in the prior 25 trading days.
• The rules target active stocks that have recently made a large move.
• The document describes a screening concept, not a complete trading or risk-management system.
• It warns that volatile selections and changing market conditions can make results unstable.
• No backtest evidence is reported, and the sample code’s volume calculation may not match the stated ratio.

Tags

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