A Seven-Day Decline Stock Screen with RSI and Order-Book Imbalance

Summary

This article describes an A-share screening rule combining three conditions: RSI below 65, seven consecutive sessions in which the close is below the open, and displayed best-bid volume greater than best-ask volume. It interprets the RSI and candle sequence as signs of weakness, while the bid-side volume condition is presented as evidence of stronger current buying interest. The article also gives examples of indicator formulas and a Python outline for collecting quotes and filtering stocks.

The piece offers no backtest, performance figures, or evidence that the combined conditions predict returns. It acknowledges that the screen omits fundamentals, industry direction, and macroeconomic conditions, and suggests combining additional indicators and fundamental measures. Its sample code has apparent implementation inconsistencies: the seven-session condition skips a stock when all seven closes are at or below their opens, and the cited daily index data is not itself an RSI calculation. Accordingly, the strategy is best understood as a proposed screening idea rather than a validated trading system.

Key ideas

• The screen selects stocks with RSI below 65, seven bearish open-to-close sessions, and greater best-bid than best-ask volume.
• The article interprets the candle sequence as short-term weakness and the order-book condition as buying interest.
• It provides formula references and a Python example, but does not report a backtest or trading results.
• The author notes that fundamentals, industry conditions, and macroeconomic factors are missing.

Tags

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