A-Share Screen Combining RSI, Order-Flow Ratio, and Ten-Day Returns

Summary

This A-share selection method combines RSI below 65 with an external-to-internal traded-volume ratio above 1.3 and a ten-day return greater than zero but below 35%. Its accompanying Python example adds a further live-price filter, excluding stocks whose current change is non-positive. The article presents these conditions as a way to combine a technical indicator, a trading-flow measure, and recent price performance; it also suggests considering valuation ratios and industry characteristics.

The document offers no backtest results, test dates, or evidence that the filters improve returns or reduce risk. It acknowledges that recent winners may lack durable growth and that short-term price moves are volatile. The data retrieval and indicator details are only sketched, and the text does not define portfolio construction, trade execution, exits, or risk limits. The stated thresholds should therefore be treated as screening parameters requiring independent validation.

Key ideas

• The screen requires RSI below 65 and an external-to-internal volume ratio above 1.3.
• It limits the ten-day return to a positive value below 35%.
• The sample implementation also filters out stocks with a non-positive current price change.
• The article gives no performance testing to validate the proposed filters.
• It warns that recent gains may not persist and recommends broader fundamental and market analysis.

Tags

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