A-Share Screening with Volatility, RSI, and Daily Return Bounds
Summary
This A-share screening approach selects stocks with daily amplitude above 1, RSI below 65, and a daily percentage change below 2.6% but above -5%. The document frames the amplitude condition as finding stocks with notable price movement, while the RSI filter is intended to exclude strongly overbought names. It also sketches a possible ranking step using relative price strength and retaining the strongest portion of the candidates.
The stated risks are that the screen ignores company fundamentals and can be sensitive to broad market fluctuations. Suggested extensions include valuation, market capitalization, earnings growth, moving averages, and industry or theme information. The article provides formulas and a code example, but no backtest, transaction assumptions, or evidence that the filters produce better returns. Its final description also says to combine the screen with fundamentals and industry characteristics, which goes beyond the three initial conditions.
Key ideas
- The initial screen requires amplitude above 1, RSI below 65, and daily return between -5% and 2.6%.
- A relative-strength ranking step is proposed to retain the strongest fraction of selected stocks.
- The document warns that fundamentals are omitted and market moves can materially affect the selected names.
- It suggests adding valuation, earnings, moving-average, and industry filters.
- No backtest or performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.