A-Share Momentum Screen Using Price Range, Large Moves, and Historical Limit-Ups

Summary

This document describes a speculative A-share screen combining a large daily price range, a recent single-day gain of at least 10% within a 25-session window, and a limit-up event associated with 2021. It frames the conditions as a way to identify stocks with strong past momentum and current market interest, and includes formula and Python examples that add volume-based ordering. The intended screen therefore mixes recent price activity with a historical event filter.

No backtest, return series, or evidence of predictive value is supplied. The document warns that short-term momentum and attention can be unstable, that a prior year’s surge may reflect sentiment, and that fundamentals and longer-term performance are omitted. There is also ambiguity between the prose, which says a large move occurs within the recent window and a limit-up occurred in 2021, and code that appears to combine conditions differently. The range threshold and limit-up detection also need precise definitions, so the examples should not be treated as a validated implementation.

Key ideas

• The screen combines a large price range, a recent single-day gain threshold, and a historical limit-up condition.
• The proposed rationale is to identify stocks with momentum and market attention.
• Volume is used as an ordering variable in the examples.
• The document provides no evidence that the screen predicts future returns.
• The timing and implementation of the historical and recent conditions are ambiguous.

Tags

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