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A Candlestick Screen Using RSI, Order-Book Imbalance, and a Two-Day High

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Summary

This document presents an A-share screening rule combining a 13-period RSI below 65, bid-side volume greater than ask-side volume, and a latest high equal to the highest high over two days. The accompanying indicator logic excludes a specified market sector. The author interprets these conditions as combining a not-overbought reading, stronger displayed buying interest, and a price near a recent high. Example formula and Python snippets illustrate how to calculate the conditions.

The document offers no backtest or performance evidence, and its claim that the stocks are undervalued is not established by the listed technical and order-book inputs. The selection may be narrow and sensitive to price moves, sentiment shifts, or adverse company events. It recommends combining technical signals with valuation and financial information. The examples are implementation references rather than validated trading rules; the data definitions and sector filter should be checked before use.

Key ideas

  • The screen combines RSI below 65, greater bid-side than ask-side volume, and a two-day high condition.
  • The example implementation uses a 13-period RSI and excludes a specified sector.
  • The rule combines a momentum-style price condition with an order-book volume comparison.
  • The document presents no backtest, and the technical conditions alone do not establish that shares are undervalued.
  • It recommends additional technical and fundamental filters and cautions that market or company shocks can cause losses.

Tags

EquitiesTechnical indicatorsMomentumMarket microstructureChina markets

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