Screening Chinese Stocks by RSI, Market Capitalization, and Turnover

Summary

This stock-selection proposal screens Chinese equities using three conditions: RSI below 65, circulating market capitalization between 5 billion and 10 billion yuan, and turnover between 2% and 9%. It presents the screen as a way to combine a technical indicator with company size and liquidity constraints. In the accompanying Python example, the RSI is calculated over 14 periods; when at least five stocks qualify, the code sorts them by percentage price change and selects the top five.

The text warns that the rules omit company financials and industry conditions, may respond slowly to macroeconomic changes, and can develop style bias because the turnover band is fixed. It recommends considering valuation, industry outlook, and the broader economy, and adjusting turnover limits to market conditions and the selection objective. The document supplies no backtest results or evidence that the screen is profitable. The stated rationale and example code therefore describe a candidate filter, not a validated investment strategy.

Key ideas

• The screen requires RSI below 65, market capitalization from 5 billion to 10 billion yuan, and turnover from 2% to 9%.
• The example calculates RSI over 14 periods and ranks qualifying stocks by price change.
• The proposed rules focus on technical conditions, size, and liquidity while leaving fundamentals out.
• Fixed turnover limits may create style bias as market conditions change.
• The document reports no backtest or performance evidence.

Tags

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