A-Share Momentum Screening with Limit-Ups and Moving Averages

Summary

This note outlines an A-share screen for stocks with daily amplitude above 1%, a 20-day moving average above the 120-day average, and more than two limit-up days over ten days. It presents the moving-average comparison as a trend filter and repeated limit-ups as a sign of strong recent price action and investor attention. The supplied examples also mention ranking by market heat and additional exchange or share-count conditions, which are not central to the written strategy.

The stated risks are that short-term price action and popularity can crowd out longer-term context, company fundamentals, and value. Suggested improvements include adding financial measures, considering the longer-term trend, combining multiple indicators, and adjusting activity to market conditions. The article provides no backtest or measured evidence. Its sample code appears inconsistent with the stated moving-average relationship and limit-up count, so the definitions and implementation should be checked before any evaluation or use.

Key ideas

• The core screen combines amplitude above 1%, a 20-day average above the 120-day average, and more than two ten-day limit-ups.
• The moving averages are intended to represent trend, while limit-ups represent recent strength and attention.
• The document warns that recent activity may overshadow fundamentals and longer-term conditions.
• No performance evidence is reported, and the sample implementation appears inconsistent with the written conditions.

Tags

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