Chinese Stock Screening with RSI, Large-Order Flow, and Daily Returns

Summary

This document describes a Chinese equity screen combining RSI, daily percentage change, and a measure of net inflow from very large orders. The stated selection logic requires RSI below 65, a product of daily change and large-order net inflow above a threshold, and daily change between −5% and 2.6%. The accompanying example also applies turnover, price-to-book, and price-to-earnings filters and returns up to 50 stocks. The author frames the combined signals as a way to find shares with potential to rebound, interpreting RSI as a technical condition, order flow as a capital-flow measure, and a bounded daily move as a sign of improving sentiment.

The document gives no backtest, performance figures, or precise definition of the large-order metric, so the rebound rationale is not empirically established here. It flags the possibility of losses from relying on technical indicators and missed selections when sentiment shifts. It suggests adding other indicators and a market-trend filter. There is also a mismatch between the heading's daily gain cap of 2% and the body and code's 2.6% cap, and the code's chained range comparison may not work as intended in pandas.

Key ideas

• The screen uses RSI below 65 alongside daily price change and very large order net inflow.
• The body specifies a daily percentage change range from −5% to 2.6%, while the heading says below 2%.
• The code example adds turnover, valuation, and a combined price-change and order-flow threshold.
• The document provides no performance evidence and identifies indicator and market-sentiment risks.
• It proposes adding technical measures and a broad-market trend condition.

Tags

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