Filtering Stocks by RSI, Turnover, and Opening Price Change

Summary

This Chinese equity screening proposal selects stocks with a 14-period RSI below 65, turnover between 3% and 12%, and a gain below 6% at 9:25. The author presents the opening-move cap as a way to avoid some sharp short-term moves while retaining stocks with more orderly price behavior. The post also suggests adjusting that threshold to market conditions and supplementing the screen with valuation and liquidity measures.

The discussion warns that unusual trading around the open can cause the filter to exclude stocks that later stabilize. It includes formula and Python examples, but the sample code has inconsistencies: its stated turnover range conflicts with separate thresholds, and its use of daily price data does not clearly calculate a 9:25 move. No backtest results or evidence of improved risk-adjusted performance are reported, so the screen's effectiveness remains unestablished.

Key ideas

• The screen combines RSI below 65, turnover of 3% to 12%, and a 9:25 gain below 6%.
• The opening-move threshold is intended to reduce exposure to sharp early price moves.
• The author suggests adjusting the threshold and adding valuation or liquidity filters.
• The example code has discrepancies and does not clearly measure the stated opening-time condition.

Tags

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