Screening Shenzhen Main Board Stocks with RSI and Valuation Limits

Summary

This Chinese-language post describes an equity screen for Shenzhen Main Board stocks. It combines RSI below 65 with a tradable market capitalization of 5–10 billion yuan, price-to-earnings ratio between 0 and 29.01, and price-to-book ratio between 0 and 3.11. The accompanying Python example calculates RSI and, when at least five stocks qualify, sorts them by percentage price change and selects five.

The post presents this as a combination of technical, size, and valuation filters, but provides no backtest, return series, or comparison against a benchmark. It warns that accounting quality and industry differences can distort valuation measures, and that RSI alone may miss other relevant price behavior. Suggested extensions include adding PEG or dividend yield and more technical indicators; the post does not evaluate those changes. The method is therefore a screening recipe rather than evidence of a profitable strategy, and it leaves portfolio weighting, rebalancing, and trading costs unspecified.

Key ideas

• The screen requires RSI below 65 and market capitalization from 5 to 10 billion yuan.
• It also filters for price-to-earnings ratios up to 29.01 and price-to-book ratios up to 3.11.
• When at least five stocks qualify, the example ranks them by price change and returns five selections.
• The post cautions that sector differences and unreliable financial reporting can weaken valuation filters.
• No performance test is provided, and portfolio construction and trading costs are not specified.

Tags

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