A Stock Momentum Screen with Volatility and Liquidity Filters

Summary

This document outlines a Chinese equity selection screen combining large intraday ranges, a recent single-day gain of at least ten percent, and exclusion of specially treated stocks. Its later proposed version also requires a recent limit-up event and suggests adding valuation and trading-volume checks. The idea is to find volatile stocks with strong recent price action, then refine the candidates using fundamental and liquidity information.

The page warns that delayed signals can lead to chasing prices, and that crowded limit-up stocks may be difficult to sell. It also notes that non-ST status alone does not establish sound fundamentals. The formulas are reference sketches rather than a complete, validated strategy: key conditions for limit-up, fundamentals, and liquidity are left unfinished, and no backtest results or execution rules are provided. The screen therefore illustrates a set of selection criteria, not evidence of profitability.

Key ideas

• The screen selects stocks using intraday range and recent strong daily returns.
• The proposed version adds a recent limit-up condition and recommends fundamental and volume filters.
• Late entry may expose the strategy to price chasing and reversals.
• Stocks at limit-up prices may carry elevated liquidity and exit risk.
• The document gives no completed implementation or performance evidence.

Tags

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