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A-Share Screening with RSI, Trade Imbalance, and Institutional Flow

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Summary

This A-share stock screen combines a relative strength index below 65 with an external-to-internal trade volume ratio above 1.3 and a positive institutional-flow measure. It presents the indicators as a way to combine a technical condition with trading sentiment and an estimate of institutional activity. The document also suggests broadening analysis with factors such as market capitalization, turnover, valuation, financial reports, and industry conditions, and adjusting parameters as markets change.

No backtest or performance evidence is reported. The note cautions that technical indicators can lag, institutional-flow data may not represent investors’ full intentions, and the screen cannot remove market or institution-related risk. Its example code introduces filters that do not consistently match the stated selection rule, so it should not be treated as a faithful or validated implementation of the screen.

Key ideas

  • The stated screen requires RSI below 65, an external-to-internal trade ratio above 1.3, and positive institutional flow.
  • The method combines a technical indicator with trade activity and a measure of institutional behavior.
  • The note suggests adding valuation, turnover, company reports, and industry context to the screening process.
  • It warns that indicators may lag and institutional-flow measures are incomplete proxies for investor intent.
  • No performance evidence is provided, and the example implementation does not consistently reflect the stated rules.

Tags

EquitiesChina marketsTechnical indicatorsSentimentRisk management

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