Screening Chinese Stocks by RSI, Float Value, and Auction Turnover

Summary

This proposed Chinese equity screen selects stocks with an RSI below 65, a circulating market value between 5 billion and 10 billion yuan, and prior-day auction turnover above 0.26. The article frames the filters as a mix of technical condition and trading activity: RSI is used to avoid elevated readings, market value restricts company size, and auction turnover serves as a liquidity or activity measure. It includes a formula reference and a Python example intended to illustrate the selection process.

No backtest, return series, benchmark, or evidence of predictive performance is reported. The article notes that the screen omits fundamentals, other technical measures, and broader market flows, and that market changes may produce misleading signals. It suggests adding valuation and profitability measures and revisiting the thresholds. The sample code’s data fields and turnover calculation would need validation before use, so the stated rules should be treated as a screening idea rather than a tested strategy.

Key ideas

• The screen requires RSI below 65, circulating market value from 5 billion to 10 billion yuan, and prior-day auction turnover above 0.26.
• The filters combine a technical indicator, a company-size range, and an activity measure.
• The article does not provide backtest results or evidence that the thresholds predict returns.
• It identifies missing fundamental and market-flow considerations as limitations.
• The example data inputs and turnover calculation require independent validation.

Tags

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