Mainland China Stock Screen Using RSI, Daily Gains, and Weekly MACD

Summary

This note describes a mainland China stock screen that combines RSI below 65, a daily price gain above 1%, main-board eligibility, and weekly MACD above zero. The stated rationale is to pair a momentum signal from the day’s gain with a longer-term trend filter, while using RSI as a condition for selecting stocks that may have room to rebound. The article also provides sample screening logic and code references for applying these conditions.

The document reports no measured backtest or performance evidence; its expectation of excess returns is a stated aim, not a demonstrated result. It flags the risk of relying on a small number of indicators, which can misread sudden events, and notes that weekly MACD may respond slowly and miss part of a move. It suggests adding other data, tuning the model, and setting profit-taking and stop-loss rules. Those proposals are not evaluated, and the screen’s effectiveness, trading costs, and robustness are left untested in the text.

Key ideas

• The screen requires RSI below 65, a daily gain above 1%, main-board listing, and weekly MACD above zero.
• The strategy combines a short-term price move with a slower trend filter.
• The article gives no backtest results to establish that the screen earns excess returns.
• Weekly MACD may lag, while sudden events can make indicator signals unreliable.
• The author proposes adding other factors and risk controls, but does not test them.

Tags

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