A-Share Screening with RSI, Order-Flow Ratio, and Valuation Filters
Summary
This note describes an A-share stock screen combining technical, trading-activity, and valuation conditions. It selects stocks with RSI below 65, an external-to-internal trading volume ratio above 1.3, and specified price-to-earnings and price-to-book ranges, with a Shenzhen main-board market restriction. A formula and Python example illustrate how to apply the filters.
The rationale is to combine a momentum-related indicator and trading activity with basic valuation measures. The document lists limitations: valuation ratios may not predict future price movements, poor thresholds can exclude promising stocks, and source data may be inaccurate. It suggests adding other fundamentals and technical indicators or refining the valuation ranges. No historical performance, backtest, or evidence of predictive effectiveness is presented, so the screen should be treated as a candidate-selection rule rather than a validated trading strategy.
Key ideas
- The screen combines RSI below 65 with an external-to-internal volume ratio above 1.3.
- It limits candidates to Shenzhen main-board stocks within stated price-to-earnings and price-to-book ranges.
- The document presents formulas and sample code as implementation references.
- Valuation thresholds and data quality may affect which stocks are selected.
- No 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.