Stock Screening with Turnover, 10-Day Returns, and RSI

Summary

This Chinese stock-screening note selects shares with turnover between 3% and 12%, a positive 10-day gain below 35%, and a 10-day RSI below 65. It presents the screen as a way to find actively traded stocks with recent gains while filtering out more overheated price action. The article also suggests combining these market indicators with company classification, industry position, revenue growth, and profit growth.

The note offers formula and Python examples, but it provides no backtest, performance evidence, or detailed rules for portfolio construction. Its risk discussion says that the screen may miss undervalued firms, select stocks driven by speculation, and be affected by rapid market, economic, or policy changes. The code example’s data handling and implementation details may not match the stated screening rules exactly, so the method would need careful validation before use.

Key ideas

• The screen requires turnover between 3% and 12%, a positive 10-day return below 35%, and a 10-day RSI below 65.
• The rationale combines trading activity and recent price momentum with a cap on RSI to limit overheated selections.
• The author suggests adding company and industry fundamentals to the technical screen.
• The note identifies speculative flows and changing market conditions as risks, but provides no performance testing.

Tags

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