Chinese Stock Screen Using RSI, 10-Day Returns, and Range Stability

Summary

This post presents a Chinese equity screen combining RSI, recent price performance, and a condition called “main rise start.” It selects stocks with RSI below 65, a positive return over the prior 10 days that is less than 35%, and unchanged 30-day highest-high and lowest-low values compared with the prior observation. The post also provides indicator formulas and a Python example that adds universe and market capitalization filters, although those extra conditions are not part of the headline rule.

The stated rationale is to use recent gains as a momentum filter alongside RSI and the range condition. The post warns that short-term price filters can neglect company fundamentals, that changing market conditions affect the signal, and that the screen may miss overlooked candidates. It suggests adding fundamental, industry, and macroeconomic context. No backtest, return series, or other evidence of effectiveness is reported, and the supplied code should be checked for consistency with the described filters before use.

Key ideas

• The headline screen requires RSI below 65 and a positive 10-day return below 35%.
• Its “main rise start” condition compares current and prior 30-day high and low extremes.
• The Python example applies additional universe and market capitalization restrictions beyond the headline rule.
• The post cautions that a short-term technical screen omits fundamental and market context.
• No performance evaluation is supplied, so the strategy's effectiveness remains unestablished.

Tags

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