Stock Screening with Amplitude, Turnover, and RSI Filters

Summary

This document describes a Chinese equity screening rule combining three conditions: daily amplitude above 1, prior-day trading value above 60 million, and a 14-period RSI below 65. It explains that amplitude and turnover provide measures of price movement and trading activity, while RSI adds a short-term momentum filter. A sample implementation is included, but the document reports no backtest, performance statistics, or evidence that the screen produces superior returns.

The author notes that RSI can generate noisy signals and that the rule omits fundamental information and other market signals. Suggested refinements include combining additional technical measures, such as moving averages or MACD, with company fundamentals. The stated thresholds are not accompanied by a rationale, and the sample code's amplitude and prior-turnover calculations may not exactly match the plain-language conditions. Results would depend on data definitions, execution assumptions, and the chosen market universe.

Key ideas

• The screen requires amplitude above 1, prior-day trading value above 60 million, and RSI below 65.
• The document uses a 14-period RSI as its technical momentum measure.
• It warns that short-term RSI signals can be noisy and that the rule omits fundamentals.
• No backtest or return evidence is provided for the screening rule.

Tags

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