A-Share Screening with RSI, Trade-Volume Imbalance, and Best Quotes
Summary
The document describes an A-share screening rule combining a 14-period RSI below 65, external trading volume more than 1.3 times internal volume, and best bid size greater than best ask size. Its rationale is to pair a technical momentum reading with trade-flow and order-book signals. The article also provides sample indicator and screening logic, plus a Python workflow that filters stocks and excludes special-treatment and delisting names.
It offers no backtest, performance statistics, or evidence that the conditions predict returns. The authors flag sample selection bias, sensitivity of order-book measures to market sentiment, and omission of company fundamentals. They suggest combining more factors and validating the rules, but do not report the results of such work. The volume-ratio calculation and data sources would also need careful verification before use.
Key ideas
- The screen requires RSI below 65, external-to-internal volume above 1.3, and best bid quantity greater than best ask quantity.
- The article combines a technical indicator with trade-flow and order-book conditions.
- Its Python example also filters out special-treatment and delisting stocks.
- The article provides no performance evidence and warns that the sample and order-book signals may be biased.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.