A-Share Screen Using Recent Limit-Ups, RSI, and Industry Concentration

Summary

This article proposes screening A-shares for RSI below 65, industry concentration either above 70% or below 20%, and more than two limit-up sessions within ten days. The author presents recent limit-ups as a signal of possible excess gains and the concentration bands as a way to add stability and variety. The provided formula and Python example sketch implementations, though the code also includes additional filters and does not clearly align every calculation with the stated selection rule.

No backtest or performance evidence is reported. The article warns that counting limit-ups can favor short-term speculation and overlook fundamentals, that volatile markets may impair the signal, and that concentration calculations may not suit every industry. It suggests incorporating fundamentals, size, returns, and industry-specific concentration measures. These are proposed refinements rather than validated improvements, and the screen’s assumptions and implementation details would need clarification and testing before use.

Key ideas

• The proposed screen combines RSI below 65 with either high or low industry concentration and frequent recent limit-ups.
• The limit-up condition is more than two occurrences during a ten-day window.
• The article provides formula and Python examples, but their additional filters and calculations do not fully clarify the stated rule.
• The author cautions that limit-up counts can encourage short-term speculation and omit fundamental information.
• No performance evidence is provided, and concentration measures may need industry-specific treatment.

Tags

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