A-Share Screening with Daily Range and RSI Filters

Summary

This note describes a Chinese A-share screening rule that selects stocks when the daily high-to-low range exceeds 1% and the 14-period RSI is below 65, limited to observations from 2021. It gives equivalent conditions for a charting formula and a Python workflow that filters daily stock data, then sorts qualifying rows by closing price. The accompanying rationale is that a larger range may indicate more price movement, while an RSI below the stated threshold may avoid stocks considered overbought.

The note provides no backtest results or evidence that the filters predict returns. It warns that relying on a small set of indicators and a single year may produce unstable selections. It suggests adding fundamental or technical measures and comparing multiple periods, but does not specify how to evaluate those additions. The strategy is therefore a screening example, not a complete entry, exit, or risk-management plan.

Key ideas

• The screen requires a daily high-to-low range above 1% and a 14-period RSI below 65.
• The date filter limits qualifying observations to 2021.
• The example Python workflow filters daily records and sorts the remaining rows by closing price.
• The note cautions that single-indicator rules and short sample periods can lead to unstable selections.
• It proposes combining the filters with other indicators and testing across multiple periods.

Tags

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