A Chinese Stock Momentum Screen Using Limit-Up Frequency and Buying Activity

Summary

This post proposes a Chinese A-share screen combining three conditions: buying-position share above 5% today, a rising main-board stock, and more than two limit-up days in the preceding ten days. The rationale is that recent buying activity and repeated limit-up moves may indicate strong upward momentum. The post also suggests checking valuation measures and technical indicators such as moving averages or Bollinger Bands to broaden the assessment.

It warns that selected stocks may not continue rising and that a changing market environment can make the screen ineffective. The accompanying code is internally inconsistent with the written rule: its variable names and thresholds do not clearly represent the stated buying-share and daily-rise conditions, and it adds a moving-average filter absent from the final written logic. The post supplies no backtest or performance evidence, so neither the selection rule nor the code should be taken as validated. The mismatch makes independent definition and data checks essential before implementation.

Key ideas

• The proposed screen combines buying activity, a rising main-board stock, and recent limit-up frequency.
• The stated rule requires more than two limit-up days during the previous ten days.
• Suggested additions include valuation measures and technical indicators.
• The code does not consistently implement the written screening criteria and adds a moving-average condition.
• No backtest or performance evidence is provided.

Tags

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