A-Share Screen Using RSI, Market Capitalization, and the 10-Day Average

Summary

This Chinese A-share selection method filters stocks using three conditions: RSI below 65, negotiable market capitalization between 5 billion and 10 billion yuan, and an opening price near the 10-day moving average. The Python example defines “near” as within 5% above or below that average and calculates RSI using a 14-period rolling average of gains and losses. When at least five rows qualify, the example sorts them by percentage change and returns five symbols.

The document frames RSI and price relative to the moving average as technical inputs, with market capitalization as a liquidity-related size filter. It does not provide a backtest or evidence that the conditions improve returns. It notes that fundamentals, industry outlook, and additional indicators are omitted, and recommends considering them in a broader assessment. The example also leaves implementation details such as data timing, portfolio rebalancing, transaction costs, and risk controls unspecified, so it is a screening illustration rather than a complete trading system.

Key ideas

• The screen combines RSI below 65, a specified market capitalization range, and an opening price near the 10-day moving average.
• The code defines proximity to the moving average as a 5% band and uses a 14-period RSI calculation.
• Qualifying rows are ranked by percentage change, with up to five symbols returned when enough rows exist.
• The document offers no performance test and identifies fundamentals and industry outlook as omitted considerations.
• It does not specify portfolio sizing, trading costs, or risk controls.

Tags

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