A-Share Momentum Screen with Turnover and Float-Capitalization Limits

Summary

This note describes a Chinese A-share screen that combines turnover between 3% and 12%, circulating market capitalization between 5 billion and 10 billion yuan, and a recent three-limit-up streak. It presents the streak as a sign of market attention and the turnover and capitalization ranges as constraints on the candidates. Formula and Python examples are included, but no performance data or backtest is reported.

The document cautions that market attention can move quickly, leaving recent winners behind, and that the screen ignores company fundamentals and long-term growth. It suggests adding valuation measures or applying the approach selectively by industry. The supplied examples do not consistently implement all stated conditions: the Python excerpt does not visibly apply the turnover filter, and the displayed price comparisons are not a clear test of consecutive limit-up sessions. The selection rule therefore needs validation before its results can be relied on.

Key ideas

• The screen constrains turnover to 3%–12% and circulating capitalization to 5–10 billion yuan.
• It selects stocks described as having a recent three-session limit-up streak.
• The note warns that market themes can shift and that fundamentals are omitted.
• The examples do not fully demonstrate the stated conditions, and no backtest evidence is provided.

Tags

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