A-Share Momentum Screen Using Range, Five-Day Highs, and Stock Heat

Summary

This note outlines an A-share selection process that filters for stocks with an amplitude above 1, excludes ST-designated stocks, and selects before 10 a.m. It then applies a five-session limit-up-style rule and ranks the remaining names by individual stock heat. The accompanying Python example calculates a range-based amplitude, filters names and timestamps, checks whether the close equals the rolling five-day maximum, and sorts by the heat field.

The rationale is that a heat ranking may help surface popular stocks, but the document provides no backtest or evidence that popularity or the price filters produce excess returns. It flags possible bias in the ranking and the omission of liquidity and sector trends. It recommends comparing ranking methods and considering other factors such as volume and price behavior. The example’s rolling-high test is not, by itself, a complete formal definition of a limit-up event, so the intended rule requires clarification before implementation.

Key ideas

• The screen filters for amplitude above 1, non-ST names, and observations before 10 a.m.
• It uses a five-session rolling high condition and ranks candidates by stock heat.
• The example code does not fully define a formal limit-up event.
• The document reports no tested performance and identifies ranking bias and omitted market factors as risks.
• It suggests comparing ranking methods and incorporating volume, price, liquidity, and sector context.

Tags

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