A-Share Momentum Screen Using Daily Range and Five-Day Gains

Summary

This proposed China A-share screen excludes Beijing-listed and ST stocks, then looks for shares with a daily high-to-low range above 1% and strong gains over recent five-day periods. Its rationale is to focus on volatile stocks and recent market leaders. The document includes a technical formula and illustrative Python fragments, and mentions screening before 10 a.m.; however, the stated logic and code do not fully explain how that timing is implemented.

The post warns that chasing recent winners can expose traders to rapid reversals and that the selection ignores fundamentals. It recommends adding fundamental checks and waiting for pullbacks, while also invoking long-term value without defining how to measure it. The code leaves the final selection step unfinished, and no backtest, performance evidence, transaction-cost analysis, or operational exit rules are supplied. The screen is consequently an incomplete momentum idea rather than a validated trading strategy.

Key ideas

• The proposed universe excludes Beijing A-shares and stocks marked ST.
• The screen combines a daily price range above 1% with strong recent five-day price gains.
• The document frames the approach as a way to identify volatile stocks and market leaders.
• It warns about chasing crowded momentum and recommends considering fundamentals and pullbacks.
• The implementation leaves parts of stock selection unfinished and gives no performance validation.

Tags

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