A-Share Screening with RSI, Order-Book Imbalance, and Persistent ROE
Summary
The document describes a stock-selection rule for Chinese equities that combines a 14-period RSI below 65, first-level bid volume greater than ask volume, and return on equity above 15% in each of five consecutive years. It frames the technical conditions as signals of price and trading activity, while the ROE filter aims to identify companies with a record of profitability. It also provides example expressions for screening and a Python outline for applying the conditions to data.
No backtest results or performance evidence are reported. The author cautions that ROE alone omits leverage, revenue growth, valuation, and industry conditions, and may be distorted by unreliable financial reporting. Suggested refinements include adding growth and balance-sheet measures, valuation ratios, and industry context. The stated rule is therefore a screening concept, not a fully specified portfolio strategy: it gives no entry, exit, sizing, or transaction-cost rules.
Key ideas
- The screen requires RSI below 65 and first-level bid volume greater than ask volume.
- It adds a profitability filter requiring ROE above 15% for five consecutive years.
- The examples outline how to express the conditions in a stock screener or data workflow.
- The document reports no backtest or live performance evidence.
- Additional balance-sheet, growth, valuation, and industry measures could address stated omissions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.