A-Share Screen Using Volatility, Market Value, Profitability, and RSI

Summary

This post outlines an A-share stock screen combining daily price movement, a market capitalization ceiling of 10 billion yuan, positive net profit, and RSI below 65. It presents the filters as a way to find relatively active, smaller companies that are profitable and not yet considered overbought. The post also includes example formula and Python implementations, though the examples add conditions such as price position within the daily range and price relative to a moving average.

The author cautions that RSI can lag and that technical filters and market capitalization alone do not capture company fundamentals or long-term value. Suggested refinements include adding valuation measures, other technical indicators, and sector strength. No backtest results or performance evidence are supplied, and the written screen and code examples do not align perfectly in every detail. The criteria are therefore best understood as a preliminary screening recipe rather than a validated trading strategy.

Key ideas

• The proposed screen combines daily amplitude, a market capitalization cap, positive net profit, and RSI below 65.
• The post interprets higher amplitude as greater short-term activity and the RSI threshold as avoiding overbought stocks.
• Its code examples add further price and moving-average conditions beyond the written screening rule.
• The author notes that RSI lags and that technical filters do not replace fundamental analysis.
• Valuation, additional indicators, and sector strength are suggested as possible refinements.

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