A-Share Screen Using Moving-Average Trend, RSI, and Concentration

Summary

This A-share stock screen combines three filters: the 20-day moving average must be above the 120-day average, RSI must be below 65, and an industry concentration measure must be either above 70% or below 20%. The article frames the moving-average condition as a short-term trend filter and RSI as a way to avoid stocks with stronger recent momentum. It supplies formula and Python examples, though the examples also introduce additional selection details that are not part of the stated core rule.

The article reports no backtest, performance statistics, or evidence that the combination improves selection. It notes that moving averages lag, RSI and other short-term indicators may not predict future prices, and the concentration measure depends on how it is calculated. The code’s data fields and concentration variable are not fully explained, so the method is not directly reproducible from the text alone. Suggested improvements include adding fundamental measures, refining the concentration definition, and considering machine-learning methods, but these proposals are not tested.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day moving average and RSI to remain below 65.
• It selects concentration readings above 70% or below 20%.
• The article provides formulas and sample code but leaves some data definitions unclear.
• Moving-average lag, short-term indicator limits, and concentration calculation choices are identified as risks.
• The article offers no performance evidence for the screen or its proposed refinements.

Tags

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