Chinese Stock Screen Using RSI, Seven Down Days, and Large-Order Flows

Summary

The document proposes screening Chinese stocks with RSI below 65, seven consecutive down sessions, and large-order net flow above 0.05 for at least three consecutive days. Its final version adds a market-capitalization range of 5–10 billion yuan, while the accompanying discussion describes the flow measure as a way to gauge short-term participant sentiment and risk appetite. It also gives indicator definitions and illustrative code references for implementing the screen.

The rationale is to combine a momentum-style indicator, a sustained decline, and positive large-order flows to identify candidates for further review. No historical test, performance evidence, or portfolio rules are provided. The author warns that technical screening can miss company fundamentals and market fluctuations, and suggests adding valuation, industry, and other context. The selection conditions are therefore a screening hypothesis, not evidence of durable returns.

Key ideas

• The proposed screen combines RSI below 65 with seven consecutive down sessions.
• It requires large-order net flow above 0.05 on at least three consecutive days.
• The final selection adds a market-capitalization range of 5–10 billion yuan.
• The document offers no backtest or evidence that the screen improves returns.
• It recommends considering fundamentals, industry context, and market conditions alongside technical signals.

Tags

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