A-Share Momentum Screening with RSI and Order-Flow Imbalance
Summary
This proposed A-share stock screen combines a 14-period RSI below 65, an external-to-internal trading volume ratio of at least 1.3, and a positive daily return. The stated intent is to identify stocks with room to rise, using a momentum filter alongside a measure the post associates with buying pressure. A sample workflow also describes checking available quotes and filtering candidates, though the post does not provide a tested portfolio or performance results.
The author cautions that the rules may lean too heavily on past performance or favor large-cap stocks, and that returns can change with market swings, news, or policy. The meaning and usefulness of the volume ratio may vary across securities and industries. Suggested refinements include adding valuation, size, volume, or financial-quality measures and setting industry-specific thresholds. The rules are presented as a screening idea, not a validated trading system, and no transaction costs, execution assumptions, or out-of-sample evidence are supplied.
Key ideas
- The screen requires RSI below 65, external volume at least 1.3 times internal volume, and a positive return.
- It combines a momentum indicator with a volume-based measure intended to reflect buying pressure.
- The post warns that historical performance, sector differences, and changing market conditions can weaken the screen.
- It suggests adding valuation, size, volume, and financial-quality filters, but reports no strategy performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.