A-Share Screening with RSI, Order Flow, and Relative Volume

Summary

This Chinese-language post presents an A-share screening rule that combines a 14-period RSI below 65, a ratio of outside-market to inside-market trading above 1.3, and a volume ratio between 1.5 and 6. It frames the order-flow ratio as a proxy for buying pressure and pairs it with relative volume to identify active stocks. Example formula and Python snippets illustrate how the conditions might be applied, with the code also adding intraday price-change limits.

The post offers a rationale and implementation sketches, but no backtest, performance figures, or validation of the claimed relationship between order-flow measures and institutional inflows. It warns that historical patterns may not persist, thresholds may not transfer across industries or market phases, and volume activity alone can be misleading. It recommends combining the screen with broader market, sector, valuation, or growth considerations. The examples appear to mix data sources and measures, so the precise indicator definitions and timing would need verification before use.

Key ideas

• The screen requires RSI below 65 and an outside-to-inside trading ratio above 1.3.
• It selects for relative volume greater than 1.5 and less than 6.
• The Python example adds intraday price-change filters beyond the core written rule.
• The post presents no performance test or evidence that the filters predict returns.
• Indicator definitions and sample code require checking for consistency before implementation.

Tags

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