A-Share Screen Using RSI, Order-Flow Ratio, and the Five-Day Average

Summary

This document describes a Chinese A-share screening rule combining three conditions: RSI below 65, the ratio of external to internal trading volume above 1.3, and the closing price above its five-day moving average. The indicators are presented as a way to combine price momentum, trading activity, and a short-term trend filter. The article includes example screening logic and Python code, though the examples are not fully consistent: the Python sample does not implement the external-to-internal volume ratio and adds other filters that are not part of the stated final rule.

The document gives no backtest, performance statistics, or evidence that the screen predicts returns. It notes that indicators may lag fast price moves, that the moving-average condition can reduce the number of selections, and that market and institutional risks remain. Suggested refinements include adding other technical indicators, changing the moving-average period, and reviewing company and industry information. These are proposed ideas rather than validated improvements.

Key ideas

• The stated screen requires RSI below 65, an external-to-internal volume ratio above 1.3, and price above its five-day moving average.
• The rule combines a momentum indicator, a trading-activity measure, and a short-term trend condition.
• The accompanying Python example does not implement every condition in the stated screen and includes additional filters.
• The article provides no performance test, so the screening rule's effectiveness is not established.
• The source warns that lagging indicators and broader market or company risks can limit the approach.

Tags

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