A-Share Screen Combining RSI, Order Flow, and Trading Activity

Summary

This note presents an A-share stock-selection screen combining a relative strength index below 65, an external-to-internal trade-volume ratio above 1.3, and previous-day turnover value above 60 million. Its final description adds selection before 10 a.m. and refers to multi-factor screening. The article also provides sample query and Python snippets, but their filters do not consistently match the stated criteria: the code contains market-capitalization, price-to-book, and price-to-earnings conditions, while the shown logic for trade direction and turnover differs from the prose.

The suggested rationale is that a moderate RSI, buying-side activity, and meaningful trading value may identify stocks attracting market interest without an already high RSI. The note warns that technical indicators can fail, turnover fluctuates, and a single-factor screen can be misleading. It offers no backtest or return evidence, and it does not define the calculation details or validate whether the sample code measures the intended signals. The screening thresholds should therefore be treated as an example, not an established edge.

Key ideas

• The prose screen requires RSI below 65, an external-to-internal volume ratio above 1.3, and prior-day turnover value above 60 million.
• The final description adds a before-10 a.m. selection time and mentions combining multiple factors.
• The supplied code includes additional valuation and market-capitalization filters absent from the prose.
• The article cautions that technical indicators and turnover alone can produce unreliable selections.
• No backtest or evidence of profitability is provided.

Tags

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