Chinese Stock Screen Using RSI, Volume Growth, and Prior Limit-Ups

Summary

The document describes a short-term Chinese equity screen requiring RSI below 65, today’s volume to exceed the previous day’s by more than five percent, and at least two limit-up events in the prior 500 days. It explains these filters as a combination of a momentum condition, recent trading activity, and a history of unusually strong price moves. The article also suggests adding company fundamentals and adjusting thresholds as market conditions change.

It provides example formulas and Python-style implementation details, but does not report a backtest or performance evidence. The code approximates the stated conditions: its volume ratio is not the same as an investor position increase, and its comparison of consecutive highs may not reliably identify official limit-ups. The article also flags the omission of fundamentals, possible complications from newly listed stocks, and the need to keep a short-term screen responsive to changing markets.

Key ideas

• The screen combines RSI below 65 with a volume increase above five percent and at least two prior limit-up events in 500 days.
• The author presents RSI as a way to avoid overly strong readings and activity measures as signs of market interest.
• The document recommends adding fundamental information and revisiting thresholds as market conditions change.
• No historical performance evidence is supplied, and the example code may not measure the stated conditions precisely.

Tags

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