Chinese Stock Screen Using Trading Range, Recent Limit-Ups, and RSI

Summary

This document describes a Chinese stock selection rule combining a daily trading-range threshold, a recent limit-up event, and a low RSI reading. Stocks enter a candidate pool when their high-to-low range exceeds 1%, at least one limit-up day occurred within a recent window, and six-period RSI is below 65. The post explains the intended rationale: wider ranges may accompany larger price moves, a recent limit-up may indicate relative strength, and the RSI condition is meant to avoid stocks judged overbought. It also sketches equivalent implementations using a formula language and Python tools.

No performance results or controlled tests are provided, so the rationale remains a hypothesis rather than evidence of predictive value. The author notes that the screen relies heavily on technical and historical data while overlooking fundamentals and broader market conditions. The example code also uses an 18-day rolling window despite describing a 25-day lookback, so the operational definition should be checked before use. Limit-up behavior and price-adjustment conventions may also affect implementation.

Key ideas

• The screen combines a trading-range threshold, a recent limit-up event, and an RSI ceiling.
• Its rationale treats recent limit-ups as a possible sign of strength and RSI below the threshold as a way to avoid overbought entries.
• The document provides example implementations in a formula language and Python.
• It reports no backtest evidence and warns that fundamentals and market conditions are omitted.
• The stated lookback and the example code's rolling window do not match and should be reconciled.

Tags

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