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

Summary

This A-share stock screen combines a turnover range of 3% to 12%, a positive 10-day gain below 35%, and at least one limit-up event in the previous month. The article characterizes the setup as a momentum-oriented search for stocks that have recently shown strong price action. It also gives an example indicator formula and Python screening logic, but those examples do not clearly implement every part of the stated rule in the same way.

The document offers no backtest, performance figures, or comparison with a benchmark. It cautions that buying after a limit-up can mean entering near a short-term high, and that a stock may pull back after the event. It recommends combining the screen with additional indicators and careful risk controls, but does not specify entry timing, exits, position sizing, or how to test the filters. Treat the criteria as a screening idea rather than evidence of a profitable strategy.

Key ideas

• The screen looks for A-shares with turnover between 3% and 12% and a positive 10-day gain below 35%.
• It also requires at least one limit-up event during the preceding month.
• The approach is momentum-oriented and may select stocks after a sharp price move.
• The article warns that post-limit-up pullbacks can lead to buying near a local high.
• No backtest results or fully specified trading and risk rules are provided.

Tags

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