A-Share Momentum Screen Using Amplitude, Recent Limit-Ups, and Returns

Summary

This document proposes an A-share screening rule that combines daily amplitude above 1%, at least one limit-up event in the previous 25 days, and a positive return over the latest 10 days capped at 35%. It frames these filters as a way to find volatile stocks with signs of market attention and recent upward momentum. Formula and Python examples illustrate how to identify the conditions and assemble a candidate list.

The article provides no backtest, benchmark, or measured performance evidence. It cautions that historical patterns may not predict future returns, and that high volatility and limit-up activity can bring substantial risk. Suggested refinements include adding technical and fundamental measures, using a more precise momentum measure, and accounting for transaction costs and operational complexity. The rule is therefore a proposed screening method, not a demonstrated investment result.

Key ideas

• The proposed screen requires amplitude above 1%, a limit-up event within 25 days, and a 10-day return between zero and 35%.
• The article interprets these filters as indicators of volatility, market attention, and recent momentum.
• Formula and Python examples show how to apply the conditions to stock data.
• No backtest results are provided, and the article warns that volatility and past returns do not ensure future performance.

Tags

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