A Stock Screen Using RSI, Order Book Volume, and Recent Price Spikes

Summary

This post describes an equity screening rule that combines a 14-period RSI below 65, greater bid-side than ask-side volume, and at least one daily gain of 10% or more within the previous 25 trading days. The author interprets RSI as a measure of price conditions, quoted volume as a sign of buying pressure, and a sharp recent gain as evidence of changing market sentiment. The post also suggests adding company fundamentals, other sentiment measures, and industry trends to address gaps in the basic screen.

No backtest, performance evidence, or trading rules for entering and exiting positions are provided. There is also a material mismatch between the stated rule and the supplied Python example: the example checks a 25-period price change, rather than whether any single day in the window met the threshold. The post’s caveats include exposure to sentiment swings and the omission of company fundamentals and industry conditions. As presented, this is a screening concept, not a validated trading strategy.

Key ideas

• The proposed screen requires RSI below 65, bid-side volume above ask-side volume, and a recent daily gain of at least 10% within a 25-day window.
• The post frames RSI, order book volume, and a sharp gain as technical and sentiment signals.
• It recommends considering fundamentals, broader sentiment measures, and industry trends alongside the basic filters.
• The supplied Python example tests a 25-period price change rather than checking each daily return in the window.
• The post provides no backtest evidence or complete portfolio and execution rules.

Tags

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