Chinese Stock Screen Using RSI, Recent Returns, and Prior Limit-Up Status

Summary

This Chinese equity screen selects stocks with RSI below 65, a positive return over the prior ten days that remains below 35%, and no limit-up move on the previous day. The article presents these filters as a way to identify stocks with recent gains while avoiding the strongest short-term extremes and shares that had just reached the daily price limit. It includes indicator-formula and Python examples, with RSI calculated over 14 periods and results ranked by stock heat.

The document offers no backtest, trade outcomes, or evidence that the filters produce an advantage. It identifies broad market conditions, industry concentration, and individual stock characteristics as possible sources of risk, and notes that profit potential needs consideration. It proposes adding valuation measures such as price-to-earnings or price-to-book ratios and adapting the screen to market conditions, but provides no precise integration method. The code examples use particular data sources and fields, so their calculations and limit-up rules may not transfer unchanged across datasets or market regimes.

Key ideas

• The screen requires RSI below 65 and a positive ten-day return below 35%.
• It excludes stocks that reached the limit-up threshold on the previous day.
• The article gives formula and Python examples, including a 14-period RSI calculation.
• No historical performance evidence is supplied for the selection rules.
• Market, sector, and stock-specific conditions can affect the screen's results.

Tags

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