A Mainland China Stock Screen Using RSI, Daily Gains, and Concentration

Summary

The document proposes a mainland China equity screen that selects main-board stocks with RSI below 65, a daily gain above 1%, and an industry concentration ratio between 20% and 70%. It also describes sorting qualifying stocks by a heat measure. The rationale combines a relatively low RSI reading with positive same-day price movement, aiming to identify stocks that may rebound while retaining short-term momentum. The stated concentration range is intended to balance diversification and exposure.

The post offers code references but no backtest results, benchmark comparison, or evidence that the screen produces excess returns. It acknowledges that recent gains can reverse, that the concentration thresholds are subjective, and that choosing the wrong sector or company creates risk. It suggests validating thresholds by industry and adding fundamental inputs and explicit risk controls such as stop-loss and profit-taking rules. The source does not define the RSI period, concentration calculation in detail, holding horizon, or transaction-cost assumptions, so the rules are not sufficient to assess performance as presented.

Key ideas

• The proposed screen combines RSI below 65, a daily gain above 1%, and a concentration ratio from 20% to 70%.
• The strategy focuses on mainland China main-board stocks and ranks candidates by a heat measure.
• The rationale mixes a potential rebound signal with positive short-term price momentum.
• The post provides no performance test or evidence that the screen earns excess returns.
• It flags threshold subjectivity, possible reversals, and the need for risk controls and empirical validation.

Tags

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