Chinese Stock Screening with RSI, Market Capitalization, and 250-Day Trend
Summary
The document describes a Chinese equity screening strategy combining RSI below 65, a stated circulating market-cap range of 5–10 billion yuan, and a prior-day price above its 250-day moving average. It presents these conditions as a way to filter stocks using both a momentum indicator and company size, with the long-term average serving as a trend filter. A Python example also mentions excluding ST-designated stocks and ranking selected names, though some implementation details do not consistently match the stated rules.
No performance figures or test results are supplied. The text cautions that RSI captures only short-term conditions, a moving-average comparison alone does not establish a durable trend, and restricting the universe by size can exclude other candidates. It suggests adding measures such as volume, returns, valuation, and other moving averages, while controlling the screening period and transaction costs. Data quality and model accuracy are also identified as practical concerns, so the screen is best treated as a starting filter rather than a complete investment process.
Key ideas
- The screen requires RSI below 65 and circulating market capitalization within a stated 5–10 billion yuan range.
- It also selects stocks whose prior-day price is above the 250-day moving average.
- The accompanying example includes an ST-stock exclusion and a ranking step, but its conditions do not fully align with the described screen.
- RSI and a moving-average filter each have limitations and may not capture broader market conditions.
- The document recommends combining additional technical and fundamental measures and accounting for data quality and trading costs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.