A-Share Momentum Screen Using Recent Limit-Up Frequency

Summary

This stock-selection note describes a momentum screen for Chinese A-shares. It combines a ranking by capital strength, exclusion of special-treatment stocks, selection before 10 a.m., and a requirement that a stock recorded more than two limit-up days in the preceding ten days. The note interprets trading volume and turnover as indicators of capital inflow, while repeated limit-ups are treated as evidence of strong upward momentum.

It warns that capital-flow measures can select stocks without durable upside, historical price behavior does not predict future returns, and clustered limit-ups may reflect overheated sentiment. Suggested refinements include adding trend, financial-health, industry, and fundamental filters. The document provides no performance results, detailed formulas, or evidence that the screen is profitable; its discussion is a qualitative outline rather than a validated backtest.

Key ideas

• The screen ranks stocks by a capital-strength measure based on volume and turnover.
• It excludes special-treatment shares and is intended to run before 10 a.m.
• Stocks must have had more than two limit-up sessions during the previous ten days.
• Recent limit-ups may indicate momentum, but can also reflect overheated market sentiment.
• The note recommends adding trend and fundamental filters and does not report performance evidence.

Tags

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