A Short-Term Stock Screen Using RSI, Order-Book Volume, and Large-Order Flow

Summary

This stock-selection rule combines three filters: a 14-period RSI below 65, displayed buy-side volume greater than sell-side volume, and large-order net flow above 0.05 for at least three consecutive days. The post presents the conditions as a short-term screen intended to identify stocks with possible buying interest, and provides example implementations for a charting formula language and Python. Candidates are ranked by auction amount.

The rationale is that the RSI threshold helps characterize price conditions, the quote-volume comparison reflects near-term demand, and sustained positive large-order flow may indicate concentrated buying. The post warns that the screen omits fundamental and other market variables, and that short-term signals can select volatile stocks or companies with weak longer-term prospects. It suggests adding industry, share-structure, rebound, and profitability factors. No backtest, performance data, or evidence that the flow measures predict future returns is supplied, so the rule should be treated as an unvalidated screening hypothesis.

Key ideas

• The screen requires RSI below 65, buy-side displayed volume above sell-side volume, and positive large-order net flow for three consecutive days.
• The stated interpretation is that these conditions may signal short-term buying interest.
• Candidates are sorted by auction amount after the filters are applied.
• The post acknowledges that the screen omits fundamentals and other market variables.
• No performance evidence or backtest is provided.

Tags

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