A-Share Momentum Screen Using Early Volume, High Opens, and Limit-Up Patterns

Summary

This A-share stock screen combines price range, listing status, timing, recent highs, trading volume, and opening behavior. It seeks non-ST stocks before 10 a.m. with an amplitude above 1, current volume above 10,000 lots, and an open equal to the session high. Its five-part limit-up method is represented in the accompanying example by requiring the close to match the rolling five-session maximum, alongside the other filters.

The document offers no performance data or backtest results. It describes the approach as focused on short-term activity and cautions that relying on such narrow conditions may neglect longer-term performance and concentrate selections. It suggests adding longer-term indicators, fundamentals, and other technical filters, with parameters adjusted to market and stock characteristics. The provided code and prose do not fully define the named limit-up method, and the volume and price conditions may depend on data timing and interpretation; these criteria should not be treated as evidence of profitability.

Key ideas

• The screen targets non-ST stocks before 10 a.m. with amplitude above 1.
• It adds current volume above 10,000 lots and an opening price equal to the high.
• The example represents the five-session limit-up condition as a close at the rolling five-session maximum.
• The document provides no performance evidence and warns that narrow short-term filters can concentrate selections.
• Longer-term and fundamental criteria are proposed as possible additions.

Tags

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