Chinese Stock Screen Using RSI, Recent Highs, and Historical Returns

Summary

This note outlines a Chinese equity selection approach using three signals: RSI below 65, the latest high matching the highest high over the previous two days, and strong performance during 2021. The proposed combination uses RSI as a momentum condition, a recent high as a price-action filter, and a past calendar year’s return to identify stocks that had already performed well. The example code also applies a return threshold, though the article’s prose does not clearly specify that threshold as part of the core rule.

The document provides indicator references and sample code, but no backtest, benchmark, or measured results. Its stated caveats are that past performance and technical signals may be lagging or fail to predict future returns, and that short-term market behavior may distract from company fundamentals. It suggests combining the screen with other technical measures and fundamental or industry filters. Because the method relies on historical winners and a short lookback for highs, its usefulness may depend on the test period and the precise implementation.

Key ideas

• The proposed screen combines RSI below 65 with a recent two-day high condition.
• It also favors stocks with strong performance during 2021.
• The example code adds a return cutoff that is not clearly specified in the prose strategy.
• No backtest evidence is presented, and historical gains do not establish future performance.
• The note suggests adding fundamental and other technical filters.

Tags

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