Screening Stocks for Large Moves, High Volatility, and Low RSI

Summary

This note proposes a short-term Chinese stock screen using price amplitude, a recent large daily gain, and the Relative Strength Index. Its stated criteria are amplitude above 1, at least one daily gain of 10% or more in the prior 25 trading days, and RSI below 65. An expanded version adds valuation filters: price-to-earnings below 30, price-to-book below 3, price-to-sales below 6, and PEG below 1. The examples illustrate combining price and indicator conditions with those fundamental thresholds.

There is an inconsistency: the title says RSI below 6, while the strategy description and final rule say below 65. The formulas also do not clearly encode every stated condition, and no backtest results or performance evidence are given. The author cautions that the screen emphasizes short-term price action, may overlook fundamentals, and could behave inconsistently as market conditions change. The thresholds should therefore be validated and adapted rather than treated as established settings.

Key ideas

• The screen combines high amplitude with a large daily gain within a recent 25-session window.
• The described RSI cutoff is below 65, although the title gives a conflicting value.
• An expanded screen adds valuation limits for four fundamental ratios.
• The note gives no backtest evidence and warns that short-term signals can be unstable.
• It recommends validating thresholds and considering additional market and company factors.

Tags

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