Chinese Stock Screen Combining RSI, Revenue Growth, and 10-Day Returns

Summary

This document describes a Chinese equity screen using three filters: RSI below 65, 2021 revenue more than 1.1 times 2018 revenue, and a positive 10-day gain below 35%. It proposes selecting the first N qualifying stocks and holding them for a year. The screen combines a momentum constraint with a historical revenue-growth measure, aiming to avoid highly overbought stocks while retaining companies with higher reported revenue.

The text gives conceptual commentary and sample formula and Python implementations, but no performance results or validation. It warns that multiple filters may exclude useful candidates and that the return band can narrow the universe. The sample code also appears to approximate 10-day change by summing daily percentage changes, while its revenue data handling is not clearly specified; implementation details and point-in-time data availability would need careful review. It suggests adding technical indicators or industry filters, but provides no evidence that these changes improve results.

Key ideas

• The screen requires RSI below 65 and a 10-day gain between zero and 35%.
• It filters for 2021 revenue exceeding 2018 revenue by more than a factor of 1.1.
• The proposed portfolio selects up to N qualifying stocks and holds them for one year.
• The document identifies narrow coverage and missed candidates as possible drawbacks.
• No backtest evidence is reported, and the example calculation details need validation.

Tags

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