Screening A-Shares with RSI, KDJ Momentum, and Valuation Filters

Summary

This post outlines a Chinese stock-selection screen using RSI below 65, a rising KDJ K value, and exclusion of the STAR Market. It also proposes price-to-earnings and price-to-book caps, and suggests sorting selected stocks by recent percentage change. Formula and Python examples illustrate calculating the indicators, applying the market and valuation filters, and selecting a small list when enough candidates meet the conditions.

The post offers no backtest, returns, or comparison against a benchmark. It cautions that relying on a small number of technical signals makes the approach sensitive to market conditions and omits company fundamentals, then suggests adding valuation and other trend measures. Its description of RSI as filtering oversold stocks is not a direct implication of the stated upper threshold, and the code’s data assumptions and selection logic would need review. The screen is a proposed rule set rather than evidence of a durable trading edge.

Key ideas

• The screen combines an RSI ceiling, positive KDJ K movement, and exclusion of STAR Market stocks.
• The proposed final rule adds price-to-earnings and price-to-book limits.
• The example ranks qualifying candidates by recent percentage change and selects a limited number.
• The post notes that technical-only rules can be market-sensitive and omit company fundamentals.
• No backtest or performance evidence is supplied.

Tags

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