A Momentum Screen for A-Shares Using Turnover and Three-Day Gains

Summary

This document describes a short term stock selection screen for mainland Chinese equities. It selects main board stocks whose turnover falls within a stated range, whose current daily gain exceeds a threshold, and whose prior sessions showed three consecutive limit style advances. A code example adds trading activity filters by requiring recent turnover value to exceed moving averages, although these details do not align exactly with the prose description.

The screen is presented as a way to identify strong recent price action, not as a tested strategy: the document gives no backtest or performance evidence. It warns that buying after several sharp advances may amount to chasing prices, and that the run could be followed by fatigue or a correction. It suggests supplementing the screen with fundamentals, further volume or trend measures, and risk controls. The selection rules alone do not specify portfolio sizing, entry and exit timing, transaction costs, or how to validate results.

Key ideas

• The screen combines turnover, a positive current day return, main board membership, and a three session advance pattern.
• The accompanying code also checks that trading value is unusually high relative to recent averages.
• The document provides selection logic but no empirical evidence that it earns returns.
• A run of sharp advances may reverse, so the screen can expose traders to momentum chasing risk.
• Fundamental filters and explicit risk controls are suggested as possible additions.

Tags

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