Chinese Stock Screening with RSI, Float Market Cap, and Auction Change
Summary
This article describes a Chinese equity screening rule that combines RSI below 65, a circulating market capitalization between 5 billion and 10 billion yuan, and an opening auction price change between -2% and 5%. Its rationale is to combine a technical indicator with company size and very short-term price action. The article also sketches ranking candidates using RSI and auction change, though it provides no performance results or validation evidence.
The author flags that the screen omits company fundamentals, depends on potentially noisy auction data, and may be too short-term to sustain returns. Suggested refinements include adding profitability, growth, financial condition, investor attention, and capital-flow measures. The thresholds are presented as a starting rule rather than a tested strategy, and the example code's data sources and indicator calculation are not documented in enough detail to assess reliability.
Key ideas
- The screen selects stocks with RSI below 65 and circulating market capitalization between 5 billion and 10 billion yuan.
- It restricts opening auction price change to a range from -2% to 5%.
- The article proposes combining technical, size, fundamental, and capital-flow factors for a broader screen.
- Auction data quality and short holding horizons may undermine the strategy's usefulness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.