A-Share Screening with RSI and Buyer-Seller Volume Imbalance

Summary

This note describes an A-share screening rule combining a 14-period RSI below 65 with an outer-to-inner volume ratio above 1.3, while excluding the STAR Market. The article presents these conditions as a way to combine a technical indicator with trading-activity information. Its sample formula and Python example show possible implementations, although the Python example adds other filters, including a moving-average trend condition and exclusions for specially treated or delisting stocks.

The note warns that relying mainly on technical and volume measures can miss company fundamentals, and that trading activity may be distorted by market events. Excluding the STAR Market may also omit stocks with growth potential. It recommends adding fundamental, sector, and trend information and reviewing the parameters. No backtest results or performance statistics are supplied, so the screening rule is a starting point rather than evidence of a profitable strategy.

Key ideas

• The proposed screen selects stocks with RSI below 65 and an outer-to-inner volume ratio above 1.3.
• The stated rule excludes STAR Market stocks.
• The Python example includes additional trend and stock-status filters beyond the core screen.
• Volume imbalance and RSI can overlook fundamentals and may be affected by unusual market activity.
• The article provides no performance results to establish the strategy’s effectiveness.

Tags

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