A-Share Screen Using Range, Turnover, and RSI Filters

Summary

This note presents a technical screen for stocks combining three conditions: a daily high-to-low range above 1% of the opening price, prior-day actual turnover between 3% and 28%, and a 14-period RSI below 65. It frames the range as a measure of price movement, turnover as a sign of trading activity, and RSI as a way to assess whether a stock may be overbought or oversold. Formula-style and Python examples illustrate how the conditions could be combined and how candidates could be sorted by turnover.

The document gives no backtest, return data, or other evidence that these thresholds produce an advantage. It acknowledges that a purely technical screen leaves out company fundamentals and that one fixed set of thresholds may not suit different market cycles or investor preferences. It suggests incorporating fundamental information and varying or broadening the indicators, but does not test those changes. The sample snippets are illustrative and require adaptation to the data source and intended calculation conventions.

Key ideas

• The screen combines a daily range above 1%, turnover from 3% to 28%, and RSI below 65.
• The RSI example uses a 14-period lookback.
• The note interprets range, turnover, and RSI as movement, activity, and momentum context, respectively.
• It cautions that technical filters omit fundamentals and may be too narrow for changing market cycles.
• No backtest or performance evidence is supplied, and the code examples are presented as adaptable samples.

Tags

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