A Chinese Stock Screen Using RSI, Moving Averages, and Prior Returns

Summary

The document describes a Chinese equity screening strategy that combines a 14-period RSI below 65, upward-diverging moving averages, and strong returns during 2021. Its proposed refinement broadens the historical-return cutoff to the top 30% and allocates capital equally among selected stocks. The accompanying Python example adds further filters, including longer-term moving-average conditions, stochastic checks, a liquidity-related ranking, and a cap on the number of selected stocks. These details make the example more complex than the short verbal screen, and the code’s use of historical dates alongside current market data creates potential timing and reproducibility concerns.

The article argues that RSI and moving-average behavior can indicate near-term conditions while past relative performance identifies stronger stocks. It provides no backtest results or performance evidence. It also cautions that short-term indicators can select speculative shares and that past gains do not predict future prospects. Suggested refinements include adding valuation measures and smoothing price or return inputs, but the document does not test whether these changes improve results.

Key ideas

• The screen combines RSI below 65 with upward-diverging moving averages and strong 2021 returns.
• The proposed version uses a top-30% historical-return threshold and equal capital allocation.
• The code adds moving-average, stochastic, liquidity, and selection-count filters beyond the stated screen.
• The article warns that short-term indicators may favor speculative stocks and that past performance may not persist.
• No backtest evidence is supplied to establish the strategy’s effectiveness.

Tags

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