A-Share Limit-Up Strategy Filtered by Concept Momentum

Summary

This intraday A-share strategy combines strong thematic sectors with stocks that have recently reached their daily price limits. It ranks concept indexes by short- and medium-term returns, retaining the top two percent on both measures, then screens stocks for a current limit-up and another within the prior four sessions. Further filters exclude selected listings and special-treatment stocks, require a close approach to the upper price limit, and impose minimum trading value and market capitalization. Candidates are matched to the hot concepts and sorted by market capitalization.

The strategy uses the prior session’s candidate list, then buys after the open if a stock rises at least two percent from its opening price, with up to five equal-sized positions. It sells after at least one day of holding once profit reaches five percent. The document reports an annualized return of 82.43% and a maximum drawdown of 20.74% for September 2024 through March 2025, but gives no detailed risk analysis, execution assumptions, or validation beyond that backtest. Limit-up access, slippage, and regime sensitivity may materially affect live results.

Key ideas

• The stock universe is narrowed first by concept indexes with strong recent and medium-term momentum.
• Candidates must have a current limit-up and another limit-up within the preceding four sessions, plus liquidity and size filters.
• Stocks are matched to hot concepts and sorted by market capitalization before intraday monitoring.
• Entry requires a post-open rise of at least two percent, while exits require a one-day minimum holding period and five percent profit.
• The reported backtest covers a limited period and does not establish live performance after execution costs or changing market conditions.

Tags

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