A-Share Screen Combining RSI, Order Flow, and Financial Filters
Summary
This Chinese-market stock screen combines a bounded RSI reading with a ratio of buyer-initiated to seller-initiated trading volume, then adds company and financial filters. The detailed formula also checks price and market conditions, excludes stocks marked ST, applies valuation and listing constraints, and requires positive earnings-related measures across several reporting periods. The accompanying Python example sketches a similar screening process using A-share data sources.
The article frames the approach as combining market sentiment with company fundamentals, and identifies subjective or poorly measured company attributes as a source of screening error. It recommends making those attributes more concrete and adjusting parameters to market conditions. However, it supplies no backtest results, benchmark comparison, or evidence that the formula predicts future returns. Some code details and data-field choices may not match the stated screen exactly, so the implementation would need careful validation before use.
Key ideas
- The screen pairs an RSI range with a buyer-to-seller volume ratio threshold.
- It supplements technical filters with valuation and financial performance conditions.
- The article highlights ambiguity in measuring company characteristics as a risk.
- It provides formula and Python examples but no performance or benchmark evidence.
- Data definitions and implementation details should be checked for consistency.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.