A-Share Momentum Screen Using Turnover, Daily Gains, and Moving Averages
Summary
This A-share stock-selection screen looks for main-board shares with turnover between 3% and 12%, a daily gain above 1%, and a 20-day moving average above the 120-day moving average. The turnover and daily-return filters are intended to capture active stocks with positive near-term price action; the moving-average comparison serves as a broader trend filter. The article includes indicator definitions and a Python example for calculating moving averages and applying the conditions.
No backtest, historical sample, or performance statistics are supplied, so the proposed continuation of the trend is an interpretation rather than demonstrated evidence. The article notes that a technical screen can ignore business fundamentals and that market or company-specific events may affect results. It recommends adding fundamental checks and market risk controls, but does not specify trade timing, exits, portfolio sizing, or how the screen should be evaluated.
Key ideas
- The screen restricts candidates to main-board stocks with turnover between 3% and 12%.
- It requires the current daily gain to exceed 1%.
- The 20-day moving average must be above the 120-day average as a trend condition.
- The article provides calculation examples but no empirical performance evidence.
- It flags missing fundamental analysis and risk controls as limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.