A-Share Momentum Screen Using Volatility, Recent Limit-Ups, and Highs

Summary

This Chinese-language post proposes a short-term A-share stock screen. It selects shares with daily high-to-low amplitude above one percent, at least one limit-up event during a recent lookback period, and a prior-day high that is the highest over a two-day window. The rationale is that larger ranges and a recent limit-up may signal strong activity, while a recent high may identify shares with near-term momentum. The post provides example screening logic in two platforms and suggests ranking selected names by a trading-activity measure.

The author cautions that the rules rely on technical conditions and can select temporarily inflated prices, while ignoring company fundamentals. Suggested refinements include adding fundamental, industry, market-capitalization, valuation, or additional indicator filters. No backtest, return series, benchmark, or risk-adjusted results are provided. The examples also use different lookback details, so an implementation should verify that its limit-up definition and historical window match the intended rule.

Key ideas

• The screen combines daily amplitude above one percent with a recent limit-up event and a two-day high condition.
• The post treats these filters as short-term momentum signals for A-share stocks.
• It warns that technical-only selection can overlook fundamentals and may capture inflated prices.
• The author suggests adding industry, valuation, size, or other indicator filters.
• No performance test or benchmark is reported.

Tags

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