A 2021 Stock Screen Combining RSI and Large-Order Flow

Summary

This A-share stock screen combines an RSI reading below 65 with a price-change measure multiplied by net volume from very large orders, applied to 2021 data. The accompanying example describes filtering historical index constituents using RSI and a volume-based threshold. It is presented as a way to combine a technical condition with a measure of trading flow, but the prose and example do not fully agree on the flow variable: the stated rule names net large-order volume, while the code uses price change times total volume.

The document offers no backtest results or performance evidence. Its stated limitations include the fixed date window, which excludes later candidates, and the omission of company fundamentals. It suggests adding indicators such as MACD and fundamental measures such as profitability, growth, and valuation, while accounting for market conditions. The strategy should therefore be treated as an underspecified screening idea; the exact calculation, threshold, and implementation need validation before use.

Key ideas

• The screen requires RSI to be below 65 during the specified historical period.
• The described flow condition multiplies price change by net volume from very large orders.
• The code example instead uses price change multiplied by total volume, creating an implementation mismatch.
• The date restriction excludes stocks that meet the conditions outside the selected year.
• The document provides no performance results and notes that fundamentals are omitted.

Tags

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