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

Summary

This A-share stock screen combines turnover between 3% and 12%, at least one limit-up event in the preceding 25 days, and a rising moving-average sequence. Its formula specifies that the 5-day average is above the 10-day average, which is above the 20-day average, which in turn is above the 30-day average. The article frames these as filters for trading activity, recent market attention, and an emerging upward trend.

It notes that the approach focuses on technical conditions and may misclassify the trend, then suggests adding financial measures such as profit, net assets, and valuation ratios. No backtest, returns, or risk-adjusted results are provided. The sample Python logic also contains potential mismatches with the description: it uses a turnover quantile and a rolling limit-up proxy, whose definitions may not correspond directly to the stated current turnover range and limit-up event. The screen therefore needs data validation and explicit portfolio and risk rules before evaluation.

Key ideas

• The screen requires turnover from 3% to 12% and a limit-up event in the previous 25 days.
• It uses a bullish ordering of the 5-, 10-, 20-, and 30-day moving averages.
• The article describes the approach as technically focused and recommends adding fundamental filters.
• It provides no performance evidence, and the code's proxies may not match the written conditions.

Tags

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