A Momentum Screen Using Recent Limit-Ups, Turnover, and Cash Flow

Summary

This post proposes a Chinese equity screen combining recent price-limit events, trading activity, and an increase in position holdings. Its stated initial conditions are more than two limit-up days within ten days, prior-day turnover above sixty million, and a current increase in holdings above five percent. The author explains these as signs of attention, buying interest, and positive expectations, then adds valuation filters of price-to-earnings below thirty and price-to-book above one.

The post warns that a screen focused on short-term performance can miss longer-term value opportunities and may fare poorly in sharp declines or prolonged sideways markets. It suggests varying thresholds and adding valuation measures. The included code excerpt is incomplete and its indicator calculations do not clearly implement the prose criteria, so it should not be treated as a validated or reproducible backtest. No performance evidence is provided.

Key ideas

• The screen combines recent limit-up frequency, prior-day turnover, and an increase in holdings.
• The final proposed rules add price-to-earnings and price-to-book filters.
• The author cautions that short-term signals may struggle in falling or range-bound markets.
• The code excerpt does not clearly reproduce all stated screening conditions.

Tags

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