A-Share Momentum Screen Using Recent Limit-Ups and Buying Imbalance

Summary

The screen selects Chinese A-share stocks using three conditions: buying-position share above five percent on the current day, no limit-up session on the prior day, and more than two limit-up sessions during the past ten days. The accompanying explanation interprets the recent limit-ups as evidence of short-term upward momentum and the current buying imbalance as possible evidence of incoming demand. Avoiding a limit-up on the previous day is presented as a way to find candidates that may still have room to rise.

The document cautions that the rules focus on short-term price action and may perform poorly when the broader market is weak. It suggests adding longer-term trend measures and filters such as market capitalization or valuation, but presents no tests, returns, or implementation details that establish whether the screen works. The code examples are illustrative and do not explain how the buying-share or limit-up fields are sourced or calculated, so the screen’s reproducibility depends on the data platform’s definitions.

Key ideas

• The screen requires current-day buying-position share above five percent.
• It excludes stocks that reached limit-up on the previous day.
• It requires more than two limit-up sessions within the preceding ten days.
• The strategy treats these conditions as short-term momentum and possible capital inflow signals.
• The document notes market weakness and its short-term focus as limitations, without providing performance results.

Tags

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