Chinese Stock Screen Combining RSI, Free-Float Market Value, and Order-Book Imbalance
Summary
This Chinese equity screen selects stocks with RSI below 65, free-float market value between 5 billion and 10 billion yuan, and displayed best-bid volume greater than best-ask volume. It combines a technical indicator, a company-size filter, and a snapshot of top-of-book supply and demand. The article includes example code references and explains that RSI is intended to describe recent price conditions, while market value constrains the universe and quote sizes represent visible order-book interest.
No historical test or measured returns are presented. The article warns that the three filters omit broader market trends, industry conditions, fundamentals, and other sources of risk, and that displayed bid and ask quantities may not represent actual underlying capital flows. It recommends adding further technical and flow measures, considering sector and liquidity context, and applying risk controls. The example implementation also leaves the RSI data source and timing unclear, so it should be treated as an illustrative screening concept rather than a fully specified or validated strategy.
Key ideas
- The screen requires RSI below 65 and a free-float market value within the stated 5–10 billion yuan range.
- It also requires best-bid volume to exceed best-ask volume.
- The rule combines technical, size, and visible order-book criteria but provides no performance evidence.
- Top-of-book quantities may not reliably represent broader market flows.
- Market, sector, fundamental, liquidity, and risk controls are not fully specified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.