RSI and Market-Cap Filters for a Chinese Stock Selection Strategy

Summary

The document outlines a Chinese equity screen combining RSI below 65, a circulating market capitalization of 5–10 billion yuan, and exclusion of ST-designated stocks. It adds a selection cutoff before 10:00 and a five-stock limit-up strategy, with suggested filters for limit-up availability and liquidity. The provided examples describe the RSI calculation and a stock selection procedure that ranks candidates by prior close and excludes stocks whose daily change is at least 9.9%.

The write-up gives no backtest, performance statistics, or evidence that the rules are profitable. It acknowledges that the screen leans heavily on technical criteria, omits other fundamentals, and can fail when too few qualifying limit-up stocks are available. Its suggested improvements include adding industry and fundamental filters and explicitly accounting for liquidity and the number of limit-up candidates.

Key ideas

• The screen combines RSI below 65 with a 5–10 billion yuan circulating market capitalization and excludes ST stocks.
• It selects candidates before 10:00 and applies a five-stock limit-up strategy.
• The example code ranks candidates by prior closing price and filters out stocks near the daily price limit.
• The document provides no performance evidence and notes that limited candidates and omitted fundamentals create risks.

Tags

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