Screening Stocks by RSI, Floating Market Capitalization, and Recent Highs
Summary
The strategy screens stocks using an RSI below 65, a floating market capitalization between 5 billion and 10 billion yuan, and a closing price at the highest level of the prior two days. The article explains RSI as a gauge of short-term overbought or oversold conditions, market capitalization as a size filter, and a recent high as a sign of favorable price movement. Its sample process further excludes certain listings, industries, and stocks marked as special treatment, then sorts qualifying names by the recent high.
The document offers formula and code references but provides no backtest, returns, or risk statistics. It warns that the screen omits broader market direction and company fundamentals, and recommends considering valuation, profitability, industry, liquidity, and sentiment. Some sample data fields and calculations may not correspond cleanly to the stated indicators, so implementation and data quality require review before use.
Key ideas
- The screen requires RSI below 65 and floating market capitalization between 5 billion and 10 billion yuan.\nIt selects stocks whose latest close equals the highest close in the two-day window.\nThe sample code applies extra exclusions by listing status and industry.\nThe article advises adding fundamental, industry, liquidity, and market-context factors.\nNo empirical performance evidence is reported, and the code’s data inputs may need validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.