A-Share Screening with RSI, Market Capitalization, and Moving Averages

Summary

This Chinese equity screen combines RSI below 65, a circulating market capitalization between 5 billion and 10 billion yuan, and a 20-day moving average above the 120-day average. The RSI threshold is intended to limit selection to stocks whose momentum indicator is below an upper level, while the moving-average relationship selects stocks with stronger recent price trends. The example code calculates these indicators, applies size and share-count filters, and ranks qualifying stocks by daily percentage change. The document offers no backtest, benchmark, or performance evidence, so it establishes a screening recipe rather than showing that it has predictive value.

The article acknowledges that price and capitalization filters do not adequately assess financial health, competition, or business prospects. It suggests adding measures such as return on equity, profit growth, or dividend yield. There is a discrepancy between the stated final logic, which says to include ROE, and the example selection code, which does not apply an ROE condition. Results would also depend on indicator definitions, data timing, and how missing observations are handled.

Key ideas

• The screen requires RSI below 65 and a 20-day average above the 120-day average.
• It restricts candidates to a stated circulating-capitalization range and ranks them by daily change.
• The article suggests adding financial measures such as ROE or profit growth.
• The final description mentions ROE, but the sample code does not implement it.
• No performance test is presented.

Tags

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