Chinese Stock Screening with RSI, Bid Ask Volume, and Large Order Flow

Summary

This article proposes screening Chinese stocks for RSI below 65, buy-side displayed volume greater than sell-side volume, and a positive product of the stock’s price change and net volume attributed to very large orders. The intended idea is to combine a technical condition, order-book imbalance, and a flow signal. The article supplies example indicator logic and code, but reports no backtest, sample period, signal accuracy, or return evidence.

The examples calculate the price-change term using the day’s low relative to the prior close, a detail that may affect how the signal behaves compared with a conventional close-to-close return. The article also cautions that the criteria are narrow, may perform differently across stocks or market conditions, and omit other relevant risks and fundamentals. It recommends monitoring changing market conditions and adding broader inputs, but does not define specific validation procedures or risk controls.

Key ideas

• The screen requires RSI below 65 and displayed buy-side volume greater than sell-side volume.
• It retains stocks when the product of a price-change measure and very-large-order net volume is positive.
• The examples use the day’s low relative to the prior close for the price-change measure.
• The article provides no backtest evidence and warns that the narrow signal set omits other stock and market characteristics.

Tags

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