A-Share Momentum Screen Using Recent Limit-Ups and Turnover

Summary

This A-share stock screen selects names with daily amplitude above 1, turnover above 2% and at most 9%, and more than two limit-up sessions in the preceding ten days. The conditions are presented as proxies for volatility, trading activity, and recent market attention. The article also recommends considering fundamentals, market style, and broader trends rather than relying only on recent price action.

It includes indicator-style and Python examples, but no backtest results or evidence that the combination predicts future returns. The sample code appears to add moving-average conditions that are absent from the stated final rule, and its turnover thresholds and limit-up counting should be checked against the data provider’s units and the intended trading calendar. The article warns that chasing stocks with repeated limit-ups may carry substantial risk and suggests testing and adjusting the screen before practical use.

Key ideas

• The screen requires amplitude above 1, turnover above 2% and no more than 9%, and more than two limit-ups in ten days.
• The conditions are intended to capture volatility, trading activity, and recent market attention.
• The article advises adding fundamental and broader market context to reduce reliance on recent price action.
• No backtest evidence is reported, and the sample code includes extra moving-average filters not listed in the final rule.

Tags

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