Equity Screening with RSI, Three Down Sessions, and Turnover Bounds

Summary

This Chinese-language strategy note describes a daily stock screen combining a 14-period RSI below 65, three consecutive bearish sessions, and turnover between 2% and 9%. It presents the conditions as a way to pair a momentum oscillator and recent price action with a liquidity and activity filter. Formula and Python examples show how the author intends to calculate RSI and rolling turnover and apply the conditions to a stock universe.

The note gives no backtest, performance statistics, or evidence that the screen predicts returns. It acknowledges that the method omits broader market conditions and other evaluation factors. Turnover at either extreme can also pose problems: less active shares may be difficult to sell, while highly active shares may reflect speculation. The author suggests adding market and industry trends, valuation, sentiment, or additional indicators, but does not test those extensions. The stated conditions are therefore a screening recipe, not a validated trading system.

Key ideas

• The screen requires a 14-period RSI below 65.
• It also requires three consecutive bearish sessions and turnover between 2% and 9%.
• The examples express the conditions as both an indicator formula and a Python filter.
• The note provides no performance evidence and says the screen omits broader market risks.
• Low turnover may hinder exits, while high turnover can accompany excessive speculation.

Tags

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