A-Share Momentum Screen Using Range, Ten-Day Return, and Control Data

Summary

This A-share stock screen combines a daily amplitude threshold, a positive but bounded return over ten days, and a platform measure called today’s control value above its stated cutoff. The article interprets the range and return filters as signs of short-term movement and upward momentum, while the control measure is presented as an indication of buying interest or concentrated influence. It includes an indicator expression and Python example, though the Python conditions introduce additional filters and do not straightforwardly implement the written ten-day return test.

No backtest, sample results, or evidence that the control measure predicts returns is provided. The document itself warns that this data may be unreliable, that short-term indicators can be noisy, and that technical screening can omit fundamental risks. It suggests adding longer-term trend, financial, industry, and other technical analysis. The idea is an exploratory screen, not a demonstrated strategy; precise definitions, data quality checks, and out-of-sample testing would be needed to assess it.

Key ideas

• The proposed screen combines daily amplitude, a positive ten-day return below the stated ceiling, and a control-value threshold.
• The control measure is treated as a proxy for capital influence, but the article questions its reliability.
• The sample code adds filters beyond the stated criteria, so the implementation may not reproduce the described screen.
• The article recommends considering longer-term trends, industry conditions, financial data, and other indicators.

Tags

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