Chinese Stock Screening with RSI, Turnover, and 10-Day Return

Summary

This stock screen selects shares with a 14-period RSI below 65, turnover between 3% and 12%, and a positive 10-day price gain below 35%. The stated rationale combines a moderate momentum filter with trading activity, aiming to find liquid stocks that have risen recently without an especially high RSI. The post also sketches implementations using a Chinese stock data service and a formula-based screening platform.

The document offers no backtest results or evidence that the filters predict returns. It flags the risks of focusing on short-term price action while overlooking company fundamentals and longer-term trends, and suggests adding those analyses and revisiting the return and universe criteria. The example Python logic also filters for companies listed in 2021, which is not part of the headline screen, and its turnover calculation uses a volume ratio that may not match a conventional turnover rate. These details make the implementation and screening intent less precise than the summary criteria suggest.

Key ideas

• The screen combines RSI below 65, turnover between 3% and 12%, and a positive 10-day gain below 35%.
• Its rationale is to pair recent price strength with a cap on RSI and a volume activity range.
• The post supplies formula and Python sketches but reports no backtest or predictive evidence.
• It warns that short-term technical filters can omit fundamental and longer-term information.
• The Python example adds a listing-year filter and uses volume ratios that may not represent standard turnover.

Tags

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