Chinese Stock Screen Using RSI, Market Value, and Daily Decline

Summary

This screen combines RSI below 65 with a circulating market value between 5 billion and 10 billion yuan and a daily maximum decline between 4% and 5%. Its final stated selection logic also adds a price-to-earnings ratio no higher than 40. The included code example applies the filters and, when enough candidates are available, selects a limited group ordered by prior closing price, with an additional price-move condition.

The document frames the rules as a combination of technical, size, and valuation filters, but it reports no backtest or evidence that the criteria improve returns. It cautions that a narrow set of indicators may omit sector and other company risks, and that a single day’s maximum decline may not adequately represent risk. It suggests adding broader fundamental and risk measures; the implementation details do not fully explain how the final ranking relates to the stated rationale.

Key ideas

• The screen requires RSI below 65 and a circulating market value from 5 billion to 10 billion yuan.
• It selects stocks whose maximum daily decline falls between 4% and 5% and whose P/E is at most 40.
• The example code ranks qualifying candidates and applies a further price-move filter.
• A one-day decline and a small set of indicators may not capture a stock’s full risk profile.
• No historical test or strategy performance evidence is reported.

Tags

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