Chinese Equity Screen Using RSI, Float Value, and Relative Volume

Summary

This Chinese equity selection strategy combines three filters: a 14-period RSI below 65, a tradable market value between 5 billion and 10 billion yuan, and a volume ratio above 1.5 but below 6. The example implementation ranks qualifying stocks by daily percentage change and returns up to five when at least five names pass the filters.

The document explains the screen as a way to find moderately sized companies with acceptable technical conditions and active trading. It reports no backtest results or performance evidence. It also cautions that the rules omit company fundamentals, industry prospects, and macroeconomic conditions, while volume can shift with sentiment and funding flows. The proposed improvements are to add valuation, industry, and macro filters and assess whether elevated volume persists. The thresholds are a screening recipe, not evidence of a profitable strategy.

Key ideas

• The screen requires RSI below 65, tradable market value between 5 billion and 10 billion yuan, and volume ratio between 1.5 and 6.
• Qualifying stocks are ranked by percentage change, with up to five selected if at least five pass.
• The rules omit fundamental, industry, and macroeconomic analysis.
• Volume can reflect short-term sentiment or capital flows, so its stability should be assessed.
• No performance test or profitability evidence is reported.

Tags

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