A Chinese Stock Screen Combining RSI, Revenue Growth, and Recent Limit-Ups

Summary

The document proposes a Chinese equity screen that combines a 14-period RSI below 65, revenue in 2021 greater than 1.1 times revenue in 2018, and more than two limit-up sessions within ten days. It describes selecting the first N qualifying stocks and holding them for one year. The rationale is to combine a momentum-related price signal with revenue growth, while the article acknowledges that market style, macroeconomic conditions, and omitted company or industry factors can affect results.

It suggests refining the screen with company history, sector trends, and details about price action around limit-up sessions, and adjusting the limit-up threshold using historical data. The included formula and Python example are references, but the code contains inconsistencies with the stated screen, including different revenue-period handling and an undefined market-cap threshold. No backtest, return series, benchmark, or implementation validation is provided, so the rules should be treated as an untested idea rather than demonstrated investment guidance.

Key ideas

• The proposed screen combines an RSI threshold, historical revenue growth, and recent limit-up frequency.
• The described portfolio selects a limited number of qualifying stocks and holds them for one year.
• The article identifies changing market conditions and omitted company or sector factors as risks.
• It proposes adding price-action context and adjusting the limit-up threshold based on historical data.
• The code examples contain inconsistencies, and the document provides no backtest evidence.

Tags

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