Screening Stocks by Price Limits, Turnover, and RSI

Summary

The document presents a stock selection rule using price amplitude, a recent three-session limit-up sequence, and turnover constrained to a stated range. It explains these filters as a way to favor active, recently strong stocks while excluding turnover that is too low or high. Its proposed revision also adds RSI(14) of at least 50 and suggests incorporating market trend and fundamental measures such as valuation and earnings.

The text identifies risks from ignoring broad market direction, focusing on short-term activity over long-term fundamentals, and possible filtering errors in less familiar or small-cap stocks. It includes a screening formula reference and a Python example, but the example’s conditions do not fully match the described rule, including the streak condition and turnover calculation. No backtest or return evidence is presented, so the screen should be treated as a selection hypothesis rather than a demonstrated strategy.

Key ideas

• The initial screen combines price amplitude, a recent three-session limit-up sequence, and a bounded turnover range.
• The proposed revision adds an RSI(14) threshold of 50.
• The document recommends considering market trend and fundamental information alongside short-term trading activity.
• It warns that the screen may overlook market direction and long-term business prospects.
• The provided code example does not fully match the stated selection logic, and no performance evidence is given.

Tags

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