A-Share Screen Using RSI, Volume Imbalance, and a Two-Day High

Summary

This A-share stock screen combines three conditions: a 14-period RSI below 65, an outer-to-inner market volume ratio above 1.3, and a close above the prior two-day high. The article presents the rules as a way to combine a technical condition, a measure of trading activity, and a short-term price breakout. It includes indicator formulas and a Python example that filters a stock list; the example also excludes stocks marked as special treatment or delisting.

The article offers no backtest or live-trading results, so it does not establish whether the screen is profitable. It cautions that technical and flow measures omit company fundamentals, that volatility and transaction costs can affect returns, and that a two-day high condition may lag. The displayed implementation details may not map cleanly across data sources, so the ratio calculation and screening conditions need validation before use.

Key ideas

• The screen requires RSI below 65, an outer-to-inner volume ratio above 1.3, and a close above the preceding two-day high.
• The rules combine a technical indicator, a trading-activity measure, and a short-term breakout condition.
• The Python example also filters out stocks identified as special treatment or facing delisting.
• The article provides formulas and sample code but no evidence of historical or live performance.
• It identifies omitted fundamentals, trading costs, market randomness, and signal lag as limitations.

Tags

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