Chinese Stock Momentum Screen Using Limit-Ups and Large-Order Flows

Summary

This post proposes a short-term Chinese stock screen based on three signals: more than two limit-up sessions within ten days, a daily increase in position share above five percent, and a positive threshold for the product of price change and net large-order volume. It interprets repeated limit-ups as active price momentum and rising position share or large-order flows as signs of capital interest. The sample code gives an illustrative filter for position share and the product measure, but does not implement the stated limit-up condition.

The author cautions that capital inflows do not ensure further gains and that broad market direction is omitted. Fundamental company conditions are also absent. Suggested refinements include adding financial measures and a market or industry trend filter. The document does not report a test period, a complete operational definition for every signal, or performance results, so the rule remains a rough screening proposal with substantial implementation and validation gaps.

Key ideas

• The proposed screen combines repeated limit-up sessions, a position-share increase, and a price-change/order-flow product.
• The post interprets these measures as signs of active momentum and capital interest.
• Its sample code omits the repeated limit-up requirement stated in the strategy description.
• Capital inflows and strong recent price action do not remove downside risk, especially in a falling market.
• No backtest results or complete signal definitions are supplied.

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