A-Share Screening with RSI, Large-Order Flow, and Prior-Day Limits
Summary
This note presents a stock screen using RSI below 65, a positive product of daily price change and large-order net volume, and exclusion of stocks that hit the daily price limit on the prior session. It frames these conditions as a way to combine a momentum indicator with trading-flow and market-sentiment signals while avoiding stocks that recently made an unusually strong move. The article also gives a brief RSI definition and a Python example of the screening conditions.
The strategy discussion is qualitative: it offers no historical test, performance figures, or evidence that the filters predict future returns. The author warns that the approach leaves out company fundamentals and may overlook other relevant factors; market sentiment can also change quickly. Suggested refinements include fundamental measures such as valuation, dividends, and earnings growth, weighting the factors, and adapting the screen to market conditions. The precise meaning and construction of the large-order net-volume field are not explained, which limits reproducibility.
Key ideas
- The screen requires RSI below 65.\nIt combines price change with large-order net volume as a flow condition.\nIt excludes stocks that reached the daily limit on the prior day.\nThe note flags missing fundamentals and changing sentiment as limitations.\nNo backtest or performance evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.