A-Share Momentum Screen Using Amplitude and Daily Gains

Summary

The document describes a Chinese mainland stock screen that selects main-board shares with daily amplitude above 1%, excludes shares that closed at the upper price limit on the previous trading day, and requires a gain above 1% on the current day. Its stated rationale is to find active stocks with recent price movement and signs of market attention. The proposed holding period is left to the user's risk and return preferences.

The article supplies indicator formulas and a Tushare-based example that filters stocks using prior-day limit status, share prices, turnover, and calculated amplitude and return. It offers no backtest, benchmark, or evidence that the conditions identify future winners. The author notes that the screen omits company fundamentals and other risks, and suggests combining it with financial measures and additional indicators. The example's data fields and filters should be checked against the intended market universe and current data-provider conventions before use.

Key ideas

• The screen combines amplitude above 1%, no upper-limit close on the prior day, and a current-day gain above 1%.
• Its stated universe is main-board Chinese stocks.
• The article presents indicator formulas and an example using Tushare market data.
• The proposed rationale is that active price movement may indicate market attention, but no predictive evidence is provided.
• The author warns that price-based filters omit fundamentals and other sources of risk.

Tags

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