Chinese Stock Screening with RSI and Daily Price Filters

Summary

This Chinese equities screen selects main-board stocks using a 14-period RSI below 65, a daily gain above 1%, and an open-to-close return between -5% and 2.6%. The reference logic also includes a 60-day amplitude ceiling and a circulating-market-cap range; its Python example sorts qualifying stocks by the day’s open-to-close return and returns up to ten. The article presents the screen as a way to combine a momentum signal with limits on daily price movement and company size.

The document provides example selection rules and code, but no backtest, performance statistics, or evidence that the screen is profitable. Its descriptions are not fully consistent: the headline and prose differ on the upper return limit, and the examples use varying filters. The author notes that price action can be affected by news and sentiment and that technical filters may omit fundamentals. Suggested improvements include adding fundamental and volatility measures and diversifying holdings; these are proposals rather than tested enhancements.

Key ideas

• The screen uses RSI below 65 and a positive daily move as part of its entry universe.
• It limits open-to-close returns and includes main-board and company-size filters.
• The example code ranks qualifying stocks by open-to-close return and selects up to ten.
• The article gives no backtest evidence and warns that technical screens may omit fundamental risks.
• The stated conditions vary between the headline, prose, and code examples.

Tags

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