A-Share Momentum Screen Using Limit-Up Frequency, Turnover, and RSI

Summary

This note proposes selecting Chinese stocks with a 14-period RSI below 65, turnover between 3% and 12%, and more than two limit-up days during the preceding ten trading sessions. The combination is intended to focus on shares with recent sharp advances and trading activity while avoiding the highest RSI readings. The article supplies formula and Python examples for applying the filters, but it does not specify a ranking method beyond eligibility.

The note presents no backtest or return evidence. It warns that recent price action can dominate the screen while company fundamentals are ignored, that repeated limit-up activity may carry risk, and that data definitions or quality may affect results. It suggests adding valuation and business measures and considering sector context. The criteria describe a short-term selection idea; the document does not establish that the combination predicts future returns or is robust across market regimes.

Key ideas

• The screen requires RSI below 65 and turnover between 3% and 12%.\nIt also selects stocks with more than two limit-up sessions in the previous ten trading days.\nThe article treats recent price surges and activity as signals of short-term attention.\nIt supplies example implementations but reports no tested performance.\nFundamental omissions, repeated limit-up behavior, and data quality are identified as risks.

Tags

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