A Stock Screen Using RSI, Market Capitalization, and Opening Gap

Summary

This note proposes a Chinese equity screen combining three filters: a 14-period RSI below 65, circulating market capitalization of at least 200 million yuan, and a price gain below 6% at the 9:25 pre-open snapshot. The stated rationale is to select stocks with less overheated short-term sentiment while applying a size threshold and an early-session price constraint. It includes example formula and Python-style implementation references, but does not provide a tested portfolio construction or trading process.

The article flags that a single pre-open observation can miss intraday moves and that market capitalization is an imperfect proxy for business quality. The screen omits detailed company financial analysis, so it could exclude smaller profitable firms or include large firms with weak fundamentals. Suggested refinements include adding technical and valuation measures and using finer time intervals. No backtest results, transaction costs, benchmark comparison, or evidence of predictive power are reported, and the relationship between the stated pre-open filter and the sample implementation would need careful data-timing review.

Key ideas

• The proposed screen requires RSI below 65, capitalization of at least 200 million yuan, and a pre-open gain below 6%.
• The RSI threshold is presented as a way to avoid stocks with especially strong short-term sentiment.
• A single pre-open price observation can miss later intraday changes.
• Market capitalization does not replace analysis of profitability or other company fundamentals.
• The article offers implementation sketches but no performance tests or cost analysis.

Tags

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