Chinese Stock Screening with RSI, Large-Order Flow, and Valuation Filters

Summary

This Chinese market stock screen combines a technical momentum or condition filter with trading-flow and valuation criteria. It selects Shenzhen main-board stocks with RSI below 65, positive product of percentage price change and net super-large-order volume, price-to-earnings ratio between zero and 29.01, and price-to-book ratio between zero and 3.11. The accompanying rationale treats RSI as a way to avoid riskier shares, order flow and price change as technical evidence, and valuation multiples as a measure of relative cheapness.

The post also presents sample Python-style screening logic and notes that sector, company management, and market conditions can affect outcomes. It recommends further company and industry research and tighter risk controls, but does not provide a backtest, definitions for the order-flow measure, sample dates, portfolio construction, or evidence that the filters predict returns. Some extra sector and management filters appear in the example code but are not part of the stated core rule, so implementation requires reconciling those details.

Key ideas

• The screen requires RSI below 65 and positive combined price-change and large-order net-volume readings.
• It focuses on Shenzhen main-board stocks and applies positive but capped price-to-earnings and price-to-book filters.
• The rationale combines price behavior, order flow, and valuation in one stock-selection process.
• The sample logic adds sector and management filters that differ from the stated core selection rule.
• The post offers no empirical performance evidence and highlights company, industry, and market risks.

Tags

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