A-Share Screening with RSI, Trading Volume Balance, and Turnover

Summary

This document describes a Chinese A-share screening rule that combines a 14-period RSI below 65, external traded volume exceeding internal traded volume by a specified ratio, and turnover between 2% and 9%. It presents the rule as a blend of technical and trading-activity filters intended to identify stocks with potential for upward movement. A sample screening formula and a Python-style workflow illustrate applying the conditions to market data.

The document provides no measured returns, benchmark comparison, or out-of-sample validation, so it does not establish that the screen is profitable. It flags the lack of fundamental analysis and the risks of overfitting or relying too heavily on historical behavior. It also cautions that low turnover can reflect underlying company or ownership issues. Suggested refinements include assessing fundamentals and market conditions, statistically validating historical performance, and investigating why turnover is low before treating a stock as a candidate.

Key ideas

• The screen combines RSI below 65, a high external-to-internal volume ratio, and turnover from 2% to 9%.
• The rule mixes a technical indicator with measures of trading activity.
• The document supplies an example formula and data workflow but no performance evidence.
• Fundamental factors, overfitting, and the reasons behind low turnover are identified as limitations.
• Historical behavior and market conditions should be evaluated before relying on the screen.

Tags

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