Screening with RSI, Turnover, and a Rising 30-Day Moving Average

Summary

This A-share screening proposal combines RSI below 65, prior-day auction turnover above 0.26, and an upward trend filter based on the 30-day average being above the 60-day average. The final stated rules also add price-to-earnings below 50 and price-to-book below 5. RSI is used as a momentum or market-condition filter, turnover as a measure of trading activity, and moving averages to represent trend direction. Sample indicator formulas and code are included, but the article presents no backtest or evidence of realized performance.

The author notes that technical filters omit business fundamentals such as earnings and competitiveness, and suggests position limits and additional valuation or dividend measures. Market conditions can also affect signal behavior. There is a mismatch between the headline’s turnover wording and threshold and the body’s stated criterion; the code’s turnover timing and meaning may also be unclear. These rules are best treated as a screening sketch requiring data definitions and calculations to be checked.

Key ideas

• The stated screen uses RSI below 65, prior-day auction turnover above 0.26, and a 30-day average above the 60-day average.
• The final rules add price-to-earnings below 50 and price-to-book below 5.
• The article recommends position control and broader fundamental analysis, but supplies no backtest evidence.
• The headline and body differ on the turnover condition, so its definition and timing need clarification.

Tags

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