Chinese Stock Screen Combining RSI, Market Capitalization, and MACD

Summary

This document describes a Chinese equity screening rule that selects stocks with RSI below 65, floating market capitalization between 5 billion and 10 billion yuan, and MACD above its zero line. It explains the intended roles of the filters: RSI gauges short-term overbought or oversold conditions, market capitalization constrains company size, and positive MACD is used as a signal of short-term strength. The document also includes example implementation references, but reports no backtest or live trading results for the rule.

The author cautions that the screen uses a limited set of indicators and omits company fundamentals and broader market turning points. It also notes that individual indicators can produce false signals. Suggested refinements include combining technical measures with profitability and financial-condition checks, and researching the parameter values. The document does not establish that these additions improve returns, and it gives no evidence about transaction costs, portfolio construction, or out-of-sample performance.

Key ideas

• The screen requires RSI below 65, floating market capitalization from 5 billion to 10 billion yuan, and MACD above zero.
• RSI, market size, and MACD are presented as measures of short-term condition, company scale, and price strength.
• The document warns that the rule omits fundamentals and can be affected by false indicator signals.
• Combining technical and fundamental measures is suggested, but no 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.