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

Summary

This note outlines a Chinese stock screen that looks for non-ST main-board shares with daily amplitude above 1%, a close at the highest level of the prior five-day window, and a daily gain of at least 1%. The post frames the combination as a short-term limit-up approach and says stocks should be selected before 10 a.m., although its example code does not implement that timing condition directly.

The evidence is limited to the stated screening rules and a Python example; no backtest, trade results, or validation is supplied. The example uses price and name filters, but its main-board classification and rolling-high logic may not match the written description precisely. The author notes that today's performance may be a weak guide to longer-term fundamentals and suggests considering industry trends and valuation measures, alongside longer-term empirical evaluation.

Key ideas

• The screen combines amplitude, non-ST status, a five-day closing high, a daily gain threshold, and main-board membership.
• The stated selection time is before 10 a.m., but the sample code does not enforce it.
• The post provides implementation guidance without performance results or backtest evidence.
• A single day's price strength may not indicate long-term company profitability.
• Industry trends and valuation measures 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.