A Chinese Stock Screen Combining Intraday Range, RSI, and Opening Return

Summary

The document describes a Chinese equities screening rule that selects stocks with an amplitude above 1, an RSI below 65, and an opening-auction return between -2% and 5%. It frames the range condition as a way to find active stocks, while the RSI ceiling is intended to avoid names considered excessively overbought. It also proposes ranking qualifying stocks by relative price strength and retaining the strongest fifth of the candidates.

The source cautions that this technical screen may overlook company fundamentals and that opening-auction returns can be sensitive to market conditions. It suggests adding measures such as market capitalization, valuation, earnings growth, moving averages, and industry or theme characteristics. The document provides formula and code references but no backtest results, execution rules, or evidence that the thresholds generalize. Its final wording recommends combining the screen with fundamental and sector checks, so the listed filters are best treated as an initial selection process rather than a complete strategy.

Key ideas

• The screen requires amplitude above 1, RSI below 65, and opening-auction return between -2% and 5%.
• The suggested rationale is to find active stocks while filtering out more overbought candidates.
• A relative-strength ranking is proposed to keep the strongest fifth of selected stocks.
• The source identifies missing fundamental analysis and market-sensitive auction returns as risks.
• It suggests adding valuation, growth, trend, industry, or theme filters, but provides no performance evidence.

Tags

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