A-Share Screen Combining RSI, Trading Flow, and Sustained ROE

Summary

This post outlines an A-share selection approach that combines a 14-period RSI below 65 with a positive product of daily price change and an estimated large-order net-flow measure. It adds a profitability filter requiring return on equity above 15% in each of five years, and the final logic also calls for profit growth above 20%. The article provides formula and Python examples for applying these conditions to stock and financial data.

The rationale pairs a technical condition and a trading-flow proxy with multi-year profitability and earnings growth. The post offers no backtest, benchmark, or realized trading evidence, so it does not establish whether the screen predicts returns. It notes that ROE can be manipulated, strong historical profitability does not ensure future performance, and multiple filters may leave few candidates. It recommends checking other financial ratios and considering market and macroeconomic conditions. The supplied descriptions and example calculations do not define all data conventions consistently, so implementation details would need validation before use.

Key ideas

• The proposed screen requires RSI below 65 and a positive relationship between price change and a large-order flow proxy.
• It requires ROE above 15% in each of five years and adds a profit-growth condition above 20%.
• The post treats sustained ROE as a profitability signal but says it cannot guarantee future earnings.
• It warns that ROE may be manipulated and that tight filters can sharply reduce the candidate pool.
• The article supplies implementation examples but no evidence of strategy performance.

Tags

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