Momentum Screening With Recent Large Gains and Daily Strength

Summary

This Chinese stock-screening note proposes finding main-board shares with a daily high-low range above 1%, at least one daily gain of 10% or more during the prior 25 trading days, and a current-day gain above 1%. It frames these conditions as filters for volatility, recent upward movement, and immediate price strength. The illustrative formulas use an ATR-based range comparison and a one-day return threshold, although they do not fully implement the stated 25-day lookback condition.

The note acknowledges that the screen favors recent price action and may amplify emotional, short-term trading while overlooking long-term company prospects. It suggests adding fundamental valuation, industry and market context, and technical indicators. Those additions are described only as placeholders: no actual criteria, tested implementation, backtest, or performance results are supplied. The screen is therefore a rough momentum idea whose rules need clarification and validation before use.

Key ideas

• The proposed screen requires a daily range above 1% and a current-day gain above 1% on main-board shares.
• It also seeks at least one daily gain of 10% or more in the previous 25 trading days.
• The example code does not clearly implement that multi-day lookback condition.
• The note warns that recent-price filters can overemphasize short-term moves and neglect long-term fundamentals.
• Fundamental, macroeconomic, and technical additions are suggested but left unspecified and untested.

Tags

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