Screening Chinese Stocks by RSI, Auction Turnover, Size, and Profitability

Summary

This document describes a Chinese equity screen combining a technical indicator, market activity, company size, and profitability. It selects stocks with a 14-period RSI below 65, prior-day auction turnover above 0.26, market capitalization below 10 billion yuan, and stable or rising profits over several years. The accompanying explanation presents the RSI threshold as a way to avoid overly extended prices and auction turnover as a sign of market interest. It also suggests checking more detailed financial measures and industry conditions.

The document gives formula and Python examples, but no backtest, performance statistics, or evidence that the screen predicts returns. The examples do not align fully: the Python code uses circulating value and ROE checks, and its profit data logic differs from the stated net-profit growth rule. Data definitions and units also need verification before implementation. The stated risks include unstable future earnings and potential sector-specific financial weakness among smaller companies. Treat the criteria as a screening proposal rather than a validated strategy.

Key ideas

• The screen combines RSI below 65 with prior-day auction turnover above 0.26.
• It limits candidates to companies below 10 billion yuan in market capitalization.
• The stated fundamental filter favors firms with stable or rising profits over several years.
• The formula and Python examples implement different financial and size conditions.
• The document provides no performance test, so the screen's return potential remains unverified.

Tags

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