A-Share Momentum Screen Using Volatility and Recent 10% Gains
Summary
The document describes a Chinese A-share stock screen that excludes Beijing-listed shares, requires daily high-low amplitude above 1%, and selects stocks with at least one daily gain of 10% or more in the previous 25 trading days. It outlines the rationale that large price moves and a recent surge may indicate momentum, and suggests ranking candidates by circulating market value. It also proposes adding valuation, growth, leverage, and industry measures, alongside profit-taking and stop-loss rules.
The article offers formula and Python examples but reports no backtest, performance evidence, or validation. Its own caveats include that a past sharp gain does not establish future value, amplitude alone may not capture risk, and the screen omits fundamentals. The suggested refinements remain general rather than specifying measurable rules. The example implementation should be checked against the intended data definitions and timing before use; the screen is a candidate filter, not a demonstrated trading strategy.
Key ideas
- The screen requires amplitude above 1% and at least one daily gain of 10% or more within 25 trading days.
- It excludes Beijing-listed shares and suggests ranking qualifying stocks by circulating market value.
- A recent sharp gain may reflect momentum, but it is only historical evidence and does not establish future returns.
- The article recommends combining price conditions with financial, valuation, and industry measures.
- It proposes stop-loss and profit-taking rules but does not define or test them.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.