A-Share Screening with RSI, Daily Range, and Volume Filters

Summary

The document outlines a Chinese equity screen that selects stocks with a daily high-to-low range above 1%, excludes Beijing-listed shares, and requires RSI below 65. It then proposes added filters: price within 2% of a 60-day moving average, volume above its five-day average, and a ranking adjusted using valuation fields. The accompanying Python example illustrates these steps and a daily MACD filter, although the written screening logic does not mention MACD.

The page recommends combining technical signals with market, industry, financial, and liquidity checks. It warns that RSI alone can overlook trend changes, company fundamentals, and the effects of short-term events. No backtest, performance figures, or evidence of effectiveness are provided, and the suggested score adjustments are not explained or validated. Treat the screen as an illustrative starting point; its thresholds and implementation need independent testing and review.

Key ideas

• The initial screen requires a daily high-to-low range above 1%, excludes Beijing stocks, and selects RSI values below 65.
• The example adds a price-distance filter around the 60-day moving average and a volume comparison with the five-day average.
• The Python example also applies a daily MACD filter, which is absent from the written selection rules.
• The document advises checking fundamentals, industry conditions, liquidity, and risk alongside technical indicators.
• It provides no performance evidence, so the proposed filters and scoring adjustments remain unvalidated.

Tags

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