A Stock Screen Using RSI, Order-Book Imbalance, and a Limit-Up Exclusion

Summary

The post presents a stock selection rule combining RSI below 65, displayed best-bid volume greater than best-ask volume, and exclusion of stocks that hit the prior day’s upper price limit. Its example code adds a positive daily price-change condition, so the implementation is not identical to the headline rule. The stated motivation is to seek stocks with some upward potential while avoiding direct pursuit of prior limit-up moves.

The author characterizes the screen as simple and technically focused, and points out that it omits company fundamentals and long-term trend context. Market anomalies may affect its results. Suggested extensions include combining technical conditions with company size, fundamentals, and stronger risk controls. No backtest, performance evidence, execution analysis, or precise handling of market-specific limit rules is provided, so the screen should be treated as a rough selection hypothesis rather than a validated strategy.

Key ideas

• The screen requires RSI below 65 and best-bid volume above best-ask volume.
• It excludes stocks that reached the prior session’s upper price limit.
• The sample implementation also includes a positive price-change filter beyond the headline conditions.
• The post provides no backtest and warns that fundamentals, trend context, and risk controls are missing.

Tags

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