Chinese Stock Screen Combining RSI, Order Book Imbalance, and Institutional Buying

Summary

This Chinese equity screening idea combines three signals: a 14-period RSI below 65, displayed best-bid volume exceeding best-ask volume, and an estimate of institutional accumulation. The example estimates the institutional share over a rolling 10-period window using a swing flag, closing price, and an activity field; it then filters for values above 0.1. The accompanying example sorts qualifying stocks by an auction-related field, though the stated selection logic does not explain that ranking step.

The post interprets RSI as a gauge of price conditions, bid-versus-ask volume as a sentiment proxy, and institutional activity as evidence of buying interest. It offers no backtest or performance evidence. It warns that the screen omits fundamentals and rebound momentum, so selected stocks may be volatile or perform poorly over longer periods. The institutional measure and order-book data also depend on definitions and data availability that are not established in the explanation. Suggested refinements include adding company or industry characteristics and recent price momentum.

Key ideas

• The screen requires RSI below 65 and best-bid volume greater than best-ask volume.
• It estimates institutional accumulation over a rolling 10-period window and applies a threshold above 0.1.
• The post presents the signals as proxies for price conditions, market sentiment, and institutional interest.
• It provides no performance results and warns that fundamentals and momentum are omitted.

Tags

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