Chinese Stock Screening with Amplitude, RSI, Returns, and Large-Order Flow
Summary
The document outlines a Chinese equity screening rule that combines daily price amplitude above a threshold, RSI below a ceiling, and the product of price change and net volume attributed to very large orders. It also describes ranking selected stocks by relative price strength and retaining the strongest portion of the candidates. Formula and Python-style examples explain how amplitude, RSI, returns, and large-order net volume may be calculated.
The accompanying discussion notes that the screen is technical and omits company fundamentals, and that parameter choices and data variation can affect results. It also recognizes that filtering around large-order activity may miss stocks whose gains are driven by large buying. The text provides no backtest, benchmark comparison, or evidence that the proposed ranking improves returns. Its formulas and screening conditions therefore describe a hypothesis to evaluate, not a validated strategy; definitions of volume fields and timing would need to be checked in the intended data platform.
Key ideas
- The screen combines price amplitude, an RSI ceiling, and the interaction of price change with net very-large-order volume.
- It proposes ranking qualifying stocks by relative price strength and selecting the strongest subset.
- The discussion warns that technical filters omit fundamental information and can be sensitive to data and parameter choices.
- No performance test is supplied, and the large-order volume measure may vary by data provider.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.