Screening Chinese Stocks by RSI, Float Market Value, and Daily Price Change

Summary

This note outlines a Chinese equity screen using RSI below 65, float market value between 5 and 10 billion yuan, and daily price change between −5% and 2.6%. It combines a short-term technical indicator with company size and recent price movement, then describes ranking eligible stocks by a score based on RSI and price change. The title gives a tighter upper price-change limit, but the body specifies the broader interval; the body’s thresholds are used here.

The note explains that RSI is intended to indicate short-term overbought or oversold conditions, while market value and daily change add size and price context. It provides no backtest or measured returns, and the sample implementation’s data and indicator references are not fully substantiated. The author flags the lack of fundamental analysis, sensitivity to sharp market moves, and possible transaction costs from very short holding periods. Suggested extensions include financial quality, growth, investor attention, and capital-flow data, but these are proposals rather than tested additions.

Key ideas

• The proposed screen requires RSI below 65, float market value from 5 to 10 billion yuan, and daily change from −5% to 2.6%.
• The method combines a technical indicator, company size, and recent price movement.
• The example ranks eligible stocks using a score derived from RSI and price change.
• The note reports no evidence that the screen produces positive returns.
• It identifies missing fundamentals, abrupt market changes, and trading costs as limitations.

Tags

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