A Stock Screen Combining RSI, Order Book Volume, and Opening Gap

Summary

The document describes an equity selection filter with three conditions: a 14-period RSI below 65, first-level bid volume greater than ask volume, and an opening price change between minus two and plus five percent relative to the prior close. It presents these as a combination of a technical indicator, an order book imbalance, and an opening price move, and includes example formula and Python implementations.

The post offers no backtest, sample period, benchmark, or evidence that the conditions predict returns. It also cautions that the inputs are limited and data quality matters, recommending broader financial and fundamental information and adjustments for differing market environments and stocks. The examples do not establish how the screen should be executed or validated, and the stated thresholds are simply the proposed rules rather than demonstrated optimal settings.

Key ideas

• The screen requires RSI to be below 65 and bid-side first-level volume to exceed ask-side volume.
• It admits stocks whose opening move falls between minus two and plus five percent.
• The proposal combines technical, order book, and opening price information.
• The document provides example implementations but no performance test or return evidence.
• It identifies narrow inputs and data quality as limitations and suggests broader analysis.

Tags

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