A-Share Screening with RSI and External-to-Internal Volume Ratio

Summary

The document describes a Chinese A-share screening approach that selects stocks with RSI below 65 and an external-to-internal trading volume ratio above 1.3. It frames the screen around 2021 data and adds a current-price filter that excludes stocks whose percentage change is below -3%. It also mentions considering market conditions, price gains, and valuation alongside the core signals.

The article offers an outline and sample data workflow, but no backtest results or evidence that the selection rules predict returns. Its own caveats are that a single year's data may not support historical testing or future forecasts, and that market uncertainty limits the strategy. It suggests expanding the sample and time window, adding indicators and contextual factors, and using risk management and asset allocation. Data fields and calculations would need to be checked before implementation; the described screen is a candidate-selection rule, not a demonstrated trading system.

Key ideas

• The core screen requires RSI below 65 and an external-to-internal volume ratio above 1.3.
• The sample workflow also removes stocks with current percentage changes below -3%.
• The article presents no performance evaluation, so the rules should not be treated as validated return predictors.
• It recommends broadening the data and incorporating more indicators and risk controls.

Tags

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