Chinese Stock Screening with Moving Averages, RSI, and Turnover

Summary

This stock selection rule combines three technical filters: a 20-day moving average above the 120-day average, RSI below 65, and turnover between 3% and 12%. The moving average comparison selects stocks with a stronger shorter-term price trend than their longer-term trend, while RSI and turnover constrain momentum and trading activity. The document also gives example implementations in indicator syntax and Python, alongside a discussion of possible refinements.

No backtest results or performance evidence are supplied. The article cautions that the rule omits valuation and company fundamentals, depends on reliable data and adequate history, and may miss short-term opportunities. It also notes concentration risk. Its Python example illustrates the screening process but should not be treated as evidence of a profitable strategy; the document does not establish how the thresholds were chosen or assess transaction costs, portfolio construction, or out-of-sample performance.

Key ideas

• The screen requires the 20-day moving average to exceed the 120-day moving average.
• It filters for RSI below 65 and turnover between 3% and 12%.
• The article presents the rule as a stock selection screen, not a fully specified portfolio strategy.
• It identifies missing fundamental factors, data quality, and concentration as limitations.
• The document reports no backtest evidence for the screening rule.

Tags

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