A-Share Momentum Screen Using Limit-Ups and Buying Flows

Summary

This A-share stock screen combines three signals: today’s increase in position share is above 5%, auction-phase net buying by major participants is positive, and the stock has recorded more than two limit-up sessions within the prior ten days. The stated rationale is to find stocks attracting buying flows and showing recent trading activity and upward momentum. The article also sketches a selection process that filters by the two flow measures before drawing a final stock group, though that sketch does not implement the limit-up condition.

The document offers no backtest or performance evidence, and the sample code does not fully match the three-part screen. It warns that changing market conditions can weaken flow signals and that stocks differ in fundamentals, valuation, and industry characteristics. It suggests adding such filters and setting stop-loss and profit-taking rules, but supplies no tested thresholds or exit method.

Key ideas

• The screen combines a position-share increase above 5% with positive auction-phase net buying.
• It also requires more than two limit-up sessions in the preceding ten days.
• The proposed rationale is to capture buying interest and recent momentum in A-shares.
• The sample selection code omits the limit-up requirement and randomly selects from the remaining stocks.
• The article provides no performance test and recommends considering fundamentals and risk controls.

Tags

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