A-Share Momentum Screen Using Moving Averages, Buying Activity, and Filters

Summary

This post presents a stock screen that combines a short-term trend condition with recent buying activity. It selects stocks whose 20-day moving average is above the 120-day average, whose prior session did not close at the daily price limit, and whose current increase in holdings exceeds 5%. The stated aim is to identify shares with stronger near-term price trends and investor demand while avoiding stocks that just experienced a limit-up move. The post suggests additional filters, including valuation, turnover, and trading volume, and includes an incomplete code example. It does not provide a backtest or performance results, so the described conditions remain an unvalidated screening proposal. The author notes that the rules emphasize short-term signals and may give a poor view of longer-term prospects; sharp market swings can also lead to drawdowns. The definitions and data timing for the increase-in-holdings measure would need careful verification before implementation.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day average.
• It filters out stocks that hit the daily price limit in the prior session and requires recent buying activity above a threshold.
• The post proposes adding valuation, turnover, and volume conditions but provides no evidence of tested performance.
• The short-term focus may miss longer-term fundamentals and carries drawdown risk during volatile markets.

Tags

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