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

Summary

The post proposes screening Chinese equities for turnover between 3% and 12%, first-level bid volume above ask volume, and a six-period RSI below 65. It presents turnover as a filter on trading activity, bid-side volume as a bullish order book signal, and the RSI threshold as a way to avoid more overbought names. The article also mentions adding other technical indicators or fundamental measures as possible refinements.

The evidence is a stated rationale and reference formulas and Python examples; it provides no backtest, performance measurements, or validation. The examples do not consistently implement the stated screen: the Python section adds industry, listing-board, trading-amount, and amplitude filters, and its RSI query uses a broad index series before merging with individual stocks. The author warns that short-term noise and RSI misclassification may lead to poor selections or missed exits. Treat the rule as an untested screening idea, and verify the data fields and implementation before use.

Key ideas

• The proposed screen combines a turnover band, bid volume greater than ask volume, and RSI below 65.
• The post interprets these conditions as activity, buying pressure, and limited overbought risk.
• The code examples add filters that are not part of the stated core rule.
• The article supplies no performance test, and it notes risks from noise and indicator errors.

Tags

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