A-Share Pullback Screen Using Daily Range, Maximum Decline, and RSI

Summary

This note outlines a Chinese equity screening rule based on three conditions: daily amplitude above a threshold, an intraday low falling within a specified decline band relative to the prior close, and RSI below a ceiling. The proposed interpretation is that the range identifies volatile stocks, the decline captures a sharp pullback, and RSI helps assess whether recent price action is weak enough to offer a possible rebound setup. The article also sketches an implementation and mentions valuation and market-cap filters in its sample logic.

No backtest, return series, or evidence of predictive performance is provided. The rationale that a sharp decline may be followed by a rebound is asserted rather than demonstrated, and the described conditions do not by themselves account for company fundamentals, costs, or broader market regimes. The note advises considering profitability and valuation alongside technical signals. Its example implementation should be treated as illustrative, since the prose, formula, and sample logic may not encode every stated condition identically.

Key ideas

• The proposed screen combines a minimum daily range, a bounded decline from the previous close, and an RSI ceiling.
• The decline and RSI conditions are presented as a possible pullback or rebound setup.
• The document provides example logic but no evidence that the screen predicts excess returns.
• Fundamental factors and market conditions may materially affect outcomes.
• The sample implementation may not match every condition in the prose exactly.

Tags

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