A-Share Momentum Screening with Limit-Ups, Turnover, and Volume Ratio

Summary

This A-share screening idea ranks stocks by volume ratio and keeps the top 100, then filters for prior-day turnover above 3% and up to 28%, plus more than two limit-up sessions in the past 10 days. The stated rationale is that elevated turnover and repeated limit-ups may indicate liquidity, attention, and short-term upward momentum.

The note flags that strong inflows may reflect speculative trading and that heavily traded, recently limit-up stocks can face sharp reversals. It suggests adding market capitalization, industry, profitability, and technical indicators to refine the screen. Its final selection description differs from the initial rule: it refers to a 10-day price increase threshold rather than the count of limit-up days. No backtest or performance evidence is supplied, so the rationale remains qualitative.

Key ideas

• The screen ranks stocks by volume ratio and selects the top 100.
• It requires prior-day turnover above 3% and no greater than 28%.
• It initially requires more than two limit-up sessions in the preceding 10 days.
• High turnover and repeated limit-ups may signal attention but also raise reversal risk.
• The closing rule changes the limit-up count condition to a 10-day price increase condition.

Tags

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