A-Share Momentum Screen Using Recent Limit-Up Activity

Summary

This proposed A-share screen places stocks in a candidate pool when their amplitude exceeds 1, at least one limit-up occurs in the preceding 25 days, and more than two limit-ups occur within 10 days. The article interprets these filters as signs of volatility, market recognition, and recent strength. It recommends considering capital flows and trend measures, and adjusting the rule as market conditions change.

The post cautions that historical patterns may not persist and that the filters omit other relevant information. It provides indicator formulas and a Python example, but the shown Python condition for the 25-day requirement tests a single day's limit-up status rather than the stated lookback. The final combined condition therefore may not implement the intended screen. No backtest or performance evidence is reported, and the limit-up signals may reflect short-lived speculative activity.

Key ideas

• The intended screen requires amplitude above 1, at least one limit-up in 25 days, and more than two in 10 days.
• The rule targets volatile stocks with recent strong price action.
• The article suggests adding capital-flow and trend information to refine candidates.
• Historical signals may not predict future returns and can be affected by speculation.
• The Python example does not correctly express the stated 25-day lookback, and no results are shown.

Tags

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