A Chinese Equity Screen Combining RSI, Order-Book Imbalance, and Profit Growth

Summary

This document proposes a Chinese stock-selection rule that combines a 14-period RSI below a stated threshold, displayed first-level buy volume greater than sell volume, and year-over-year growth in net profit attributable to parent-company shareholders within a specified range. It frames the combination as joining technical conditions and order-book information with company profitability. The document includes formula and Python examples that illustrate applying the filters, and recommends considering broader market conditions when refining the approach.

No backtest, sample period, return comparison, or evidence of predictive value is supplied. The text describes the RSI condition as potentially useful for contrarian selection, but does not define an entry, exit, holding period, or execution method. The order-book volume comparison may be transient, while profit growth alone does not establish valuation or earnings quality. The author acknowledges market and company-specific risks and advises incorporating an assessment of the wider market. The proposed thresholds should therefore be read as a screening specification rather than a validated strategy.

Key ideas

• The screen combines RSI, a first-level buy-versus-sell volume comparison, and a bounded profit-growth condition.
• The method mixes technical, order-book, and fundamental data in one stock filter.
• The provided examples show how the listed conditions could be represented in screening logic.
• The document gives no performance study or full trading rules for entries, exits, or holding periods.
• It notes that adverse market conditions and company fundamentals can undermine the screen.

Tags

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