A-Share Momentum Screen Using Recent Limit-Ups and Daily Gains

Summary

This article proposes a main-board A-share screen requiring a daily range above one percent, at least one limit-up event in the prior 25 days, and a gain above one percent today. It interprets the range as a sign of volatility, a prior limit-up as evidence of potential strength, and the current gain as confirmation that the stock is rising. The article includes indicator formulas and a Python outline, but the implementation uses an 18-session rolling window in its example, so it does not exactly match the stated 25-day rule.

The discussion identifies weak company results and unfavorable market conditions as risks, and suggests adding valuation or financial measures and considering macroeconomic conditions. It supplies no backtest, sample performance, or evidence that these filters predict future returns. The logic is therefore a short-term momentum selection idea, with limit-up behavior and same-day gains potentially exposing users to sharp reversals and late entries.

Key ideas

• The screen combines a daily range threshold with a recent limit-up event and a current-day gain.
• The described universe is main-board A-share stocks.
• The prose specifies a 25-day lookback, while the Python example uses an 18-session rolling window.
• The article flags company deterioration and weak market conditions as risks.
• No performance test is supplied to establish whether the signals predict returns.

Tags

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