Chinese Stock Momentum Screen Using Limit-Up Frequency and RSI

Summary

This Chinese stock selection post proposes screening for shares that had more than two limit-up closes within the prior ten days, have RSI below 65, and meet a condition labeled as the start of a major uptrend. The stated formula checks whether the 30-day highest high and lowest low remain unchanged versus the previous period. A Python example adds filters for listing age, special treatment status, market segment, liquidity data, and market capitalization, then calculates the technical conditions from historical prices.

The post offers a screening recipe and code references, not evidence of strategy performance or a complete trading system. The example contains inconsistencies: the Python limit-up calculation counts zero daily returns, which does not match the stated limit-up condition, and the listing-age date logic appears malformed. It also does not define how selected stocks are weighted, when positions are exited, or how slippage and trading constraints are handled. The post itself notes that market changes can weaken the setup and suggests reassessing its thresholds and using additional analysis.

Key ideas

• The proposed screen combines a 14-period RSI below 65 with a 30-day range condition.
• It selects stocks with more than two limit-up events during the preceding ten days.
• The Python example includes filters for market capitalization, listing age, and stock status.
• The example code's count of zero returns does not implement the described limit-up test.
• The post presents no backtest evidence or rules for sizing and exiting positions.

Tags

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