A-Share Screen Combining RSI, Volume Imbalance, and Turnover

Summary

This note proposes screening A-shares using three conditions: a 14-period RSI below 65, an outer-to-inner volume ratio of at least 1.3, and prior-day turnover above 8%. Its sample formula and Python example outline how those conditions might be applied. The code also checks minute-level trading data and adds an opening-price filter, so its implementation includes details beyond the three conditions stated as the central rule.

The author frames the method as a blend of technical and trading-activity measures, but supplies no backtest or performance evidence. The discussion flags risks from overreliance on past price behavior, turnover distorted by manipulation or large position closures, and applying the same turnover threshold across stocks and industries. Suggested refinements include combining the screen with valuation, size, financial, industry, or other buying-pressure measures. These are screening ideas, not evidence that the selected stocks will rise, and the text does not establish how the thresholds were chosen.

Key ideas

• The proposed screen combines RSI below 65, a volume imbalance threshold, and prior-day turnover above 8%.
• The code example adds minute-level data checks and an opening-price condition.
• Turnover can be distorted and may not be comparable across industries or stocks.
• The note suggests supplementing activity measures with fundamentals and other factors.
• No backtest results are provided to validate the thresholds or establish returns.

Tags

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