A-Share Momentum Screen Using RSI, Order-Book Volume, and Moving Averages

Summary

This proposed stock-selection screen combines three signals: a 14-period RSI below 65, first-level bid volume greater than first-level ask volume, and upward alignment among the 5-, 10-, and 20-period moving averages. The article interprets the RSI threshold as avoiding overbought conditions, the bid-versus-ask comparison as a sign of optimistic sentiment, and the moving-average ordering as evidence of an upward price trend. It includes formula and Python-style examples for applying these filters.

The author characterizes the approach as a simple way to seek stocks with near-term upside, while warning that it ignores fundamentals and can select low-quality short-term anomalies. The suggested improvements are to assess financial condition and macroeconomic context, and to combine moving-average signals with volume or capital-flow measures. The document offers no backtest, trading rules for exits, or performance evidence. Its explanation also describes RSI as identifying oversold conditions, which does not fully clarify how the chosen upper threshold is intended to filter candidates.

Key ideas

• The screen requires a 14-period RSI below 65 and stronger first-level bid volume than ask volume.
• It also requires the 5-period average to exceed the 10-period average, which in turn exceeds the 20-period average.
• The article presents these conditions as short-term bullish filters.
• It warns that the rules omit fundamentals and may select anomalous stocks.
• No backtest results or complete entry and exit plan are given.

Tags

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