A-Share Screen Combining RSI, Order-Flow Imbalance, and Institutional Activity

Summary

This proposed A-share screen combines three conditions: RSI below 65, the ratio of externally initiated to internally initiated trading volume above 1.3, and a signal interpreted as institutional bargain buying. The post provides example query logic and Python-style code for filtering stocks, alongside additional data checks. It presents institutional buying as a sign of perceived value, but offers no backtest or measured results to support that interpretation.

The document highlights substantial ambiguity in identifying institutional bottom-fishing. Its proxy may misclassify investors or overlook positions that institutions have not fully exited, and the RSI and order-flow filters can also give incomplete signals. It recommends making the institutional criterion more objective and combining it with other evidence, such as block trades and share transfers. The examples are implementation sketches, not a reproducible validated strategy, and the source data and proxy definitions would need careful verification before use.

Key ideas

• The screen requires RSI below 65 and an external-to-internal trading volume ratio above 1.3.
• It adds an institutional buying condition intended to identify bargain purchases.
• The post acknowledges that its definition of institutional buying is subjective and may be misleading.
• It suggests using more objective institutional activity data, including block trades and share transfers.
• The document reports no backtest or evidence that the screen generates positive returns.

Tags

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