Stock Screening with Amplitude, RSI, and a Non-STAR-Market Filter

Summary

The document describes a Chinese stock screen that selects shares with price amplitude above 1 and RSI below 65, while excluding stocks listed on the STAR Market. It gives formulas for amplitude, based on the high, low, and previous close, and for RSI using smoothed positive price changes and absolute changes. It also sketches a Python-style workflow for filtering the universe.

The article proposes adding price-to-earnings below 30 and return on equity above 10% to combine technical and fundamental criteria. It suggests considering industry conditions, capital flows, trading volume, and order-book information, but does not define how to measure or combine those inputs. No backtest, sample period, or performance evidence is provided. The screen is therefore a set of illustrative selection rules, not a validated strategy; implementation details such as the RSI calculation and market-universe codes may also depend on the data platform.

Key ideas

• The initial screen requires amplitude above 1 and RSI below 65.
• It excludes STAR Market listings from the eligible stock universe.
• The article proposes adding valuation and profitability filters, including price-to-earnings and return on equity thresholds.
• It provides indicator formulas and a sketch of a stock-filtering workflow, but no backtest results.

Tags

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