A-Share Screen Using RSI, Limit-Ups, and Ten-Day Returns

Summary

The document presents a Chinese A-share stock screen combining three conditions: a 14-period RSI below 65, at least two limit-up sessions within the prior 500 days, and a positive ten-day return below 35%. It describes the filter as a way to find stocks with recent strength while avoiding the most extreme short-term gains. The page also includes indicator-formula and Python examples, though the code excerpt has implementation gaps and does not clearly establish that each condition is computed consistently at the stock level.

The accompanying discussion warns that relying on short-term price behavior can expose the screen to market noise and ignores the broader market trend. It suggests adding fundamental information, long-term trend measures, and market attention as additional considerations. No backtest results, benchmark comparison, or transaction-cost analysis are supplied, so the screen’s predictive value and practical performance remain unverified.

Key ideas

• The screen combines a sub-65 RSI reading with at least two limit-up days over a 500-day lookback.
• It also requires the ten-day return to be positive and below 35%.
• The document warns that short-term filters can be noisy and omit overall market conditions.
• It suggests supplementing price filters with fundamentals, longer-term trend, and market-interest measures.
• No performance evaluation is included in the supplied text.

Tags

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