A-Share Screen for Small-Cap Profitable Firms with RSI and Limit-Up Filters

Summary

This A-share stock screen combines a relative strength index threshold below 65 with a rule excluding stocks that hit the daily limit the previous day. It further restricts candidates to firms with market capitalization below 10 billion yuan and positive net profit over the past five years. The post proposes adding measures of profitability, leverage, and competitive strength, and mentions ranking candidates by market heat. Its indicator formulas and sample code illustrate possible data inputs, but the document reports no backtest, benchmark comparison, or realized returns.

The article notes that profitable history alone does not establish business quality, and that sector declines and the reliability of accounting information can affect results. There are also definition and implementation concerns: the code uses circulating market value, checks minute-level data in places where the screen is described in daily terms, and does not clearly operationalize all five years of profitability. The screen should therefore be treated as a hypothesis, with consistent point-in-time fundamentals, an explicit limit-up definition, and testing across market conditions before any trading use.

Key ideas

• The screen combines RSI below 65 with a previous-day limit-up exclusion.
• It also requires market capitalization below 10 billion yuan and positive net profit across the past five years.
• The post recommends supplementing profitability with leverage and competitive-strength checks.
• Accounting quality and sector performance are identified as risks.
• The sample code’s data frequency and market-cap measure do not clearly match every stated condition.

Tags

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