Chinese Stock Screening with RSI, Float Market Value, and Turnover

Summary

The document presents a Chinese equity screening rule that selects stocks with RSI below 65, circulating market value between 5 billion and 10 billion yuan, and turnover between 3% and 12%. It frames RSI as a short-term overbought or oversold measure, market value as a size filter, and turnover as an indicator of trading activity. A Python example is included to illustrate applying the filters with market data, but it does not report a tested portfolio or measured returns.

The author notes that the screen omits other technical signals, company fundamentals, capital flows, liquidity and explicit risk-return controls. Suggested refinements include adding valuation and profitability measures and combining technical indicators, followed by research into parameter choices. The example’s data sources and calculations would need validation before use; the document offers a screening hypothesis, not evidence that the selected stocks will outperform.

Key ideas

• The screen requires RSI below 65, circulating market value from 5 billion to 10 billion yuan, and turnover from 3% to 12%.
• RSI, company size, and turnover serve as technical and trading-activity filters.
• The document provides an implementation example but no portfolio backtest or performance results.
• It identifies missing fundamentals, liquidity assessment, capital-flow information, and risk-return controls as limitations.
• The author suggests combining more factors and researching the filter thresholds.

Tags

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