A-Share Screening with RSI, Order-Flow Ratios, and Large-Order Activity

Summary

This stock-selection approach screens Chinese A-shares using three kinds of signals: RSI below 65, external volume divided by internal volume above 1.3, and large-order net volume above 0.05 over three consecutive days. The explanation interprets persistent positive large-order readings as a possible sign of strengthening bullish sentiment. It also includes example screening logic and Python-like data handling, although the supplied examples do not clearly implement every stated condition consistently.

The article warns that large-order activity can be manipulated, may reflect distribution or changing market conditions rather than durable buying pressure, and that filters can exclude stocks that later rise. Suggested refinements include combining stricter order-flow thresholds with other indicators, considering company information, and filtering cyclical or highly volatile stocks. No backtest, portfolio construction, execution rules, or performance evidence is provided, so the criteria should be understood as a screening proposal rather than a validated trading strategy. The thresholds and data definitions may also depend on the source platform and its market-data conventions.

Key ideas

• The proposed screen combines RSI below 65 with an external-to-internal volume ratio above 1.3.
• It also looks for large-order net volume above 0.05 on three consecutive days.
• The author treats persistent positive large-order activity as a possible bullish sentiment signal.
• Large-order metrics may be manipulated or may reflect selling and temporary market effects.
• The document offers no backtest, and its example implementations do not clearly match all stated criteria.

Tags

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