Chinese Stock Screen Using RSI, Order-Book Imbalance, and Turnover

Summary

This document presents a Chinese stock selection rule combining a 14-period RSI below 65, bid-side first-level volume greater than ask-side volume, and prior-day actual turnover within a specified band. The article's initial description gives turnover above 3% and below 28%, while its stated final rule narrows that range to above 5% and below 25%. Example formula and Python snippets show how RSI, quoted bid and ask volume, and lagged turnover could be used to filter stocks.

The proposed interpretation is that a moderate RSI reading, greater displayed buying volume, and meaningful turnover may identify relatively strong shares. The article cautions that the method does not assess fundamentals, can react poorly to short-term market changes, and depends on turnover data that may be delayed or inaccurate. It provides no backtest, trade exits, or performance results, and the inconsistency between the two turnover ranges leaves the intended threshold uncertain. The code is illustrative and would need adaptation to the data source and execution context.

Key ideas

• The screen combines RSI below 65 with greater best-bid volume than best-ask volume.
• It uses lagged actual turnover as an additional activity filter.
• The document gives different turnover bands in its initial and final descriptions.
• It identifies missing fundamental analysis and potentially delayed turnover data as limitations.

Tags

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