A-Share Momentum Screen Using Recent Returns and Three Limit-Up Days

Summary

This note describes a short-term Chinese stock screen combining price movement with recent momentum. It selects shares with an amplitude above 1, a positive but limited ten-day gain, and three consecutive limit-up sessions on the previous day. The accompanying discussion interprets the conditions as a way to find volatile stocks with recent strength and possible support from popular themes or market sentiment.

The document provides formula and Python examples, but no backtest, performance statistics, or evidence that the rules predict future returns. It also warns that the screen omits company fundamentals and may encourage chasing short-term gains without adequate risk controls. It suggests adding fundamental and technical measures and applying stop-loss and other risk rules. The stated final logic includes those broader checks in general terms, without specifying thresholds or a tested combined strategy, so the approach remains a screening idea rather than a validated trading system.

Key ideas

• The screen combines amplitude, ten-day return, and a recent three-session limit-up streak.
• The note associates these conditions with volatility, short-term strength, and market attention.
• The examples show how the conditions could be translated into stock screening logic.
• The document presents no backtest or performance evidence for the screen.
• It identifies missing fundamental analysis and risk controls as important limitations.

Tags

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