A-Share Momentum Screen Using Turnover and Daily Price Change

Summary

This document presents a short-term screen for Chinese main-board stocks. It selects non-ST shares with turnover between 3% and 12%, a daily gain greater than 1%, and no limit-up close on the previous day. The accompanying Python example also checks that the stock has been listed for more than a year. A separate indicator formula uses moving averages and volume conditions, so the examples do not fully match the headline screening rules.

The rationale is to find actively traded shares showing positive price movement while excluding recently limit-up stocks. The post acknowledges that the screen omits company fundamentals and relies on a short observation period, which can lead to poor selections. It suggests incorporating more technical and fundamental information, using a longer time horizon, and evaluating limit-price effects more carefully. No performance results or backtest evidence are provided, and implementation would require reconciling the differences among the stated criteria and sample logic.

Key ideas

• The headline screen requires turnover from 3% to 12%, a daily rise above 1%, main-board non-ST status, and no prior-day limit-up.
• The Python example also requires a listing history longer than one year.
• The indicator formula includes moving-average and volume conditions that differ from the headline screen.
• The post warns that short-term selection and omitted fundamentals limit the strategy, and it provides no performance evidence.

Tags

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