Chinese Stock Screening with RSI, Large-Order Flow, and Volume Ratio

Summary

This Chinese A-share screening rule combines a technical indicator, a measure of large-order activity, and relative trading volume. It selects stocks with RSI below 65, a positive product of price change and net large-order volume, and a volume ratio between 1.5 and 6. The article describes the volume ratio as a way to seek active trading while avoiding unusually low or very intense activity, and includes example indicator formulas and a Python-style filter.

The article gives no backtest, performance figures, or evidence that the filters predict returns. It cautions that results can vary with market direction and the testing period, and that technical and flow measures omit other relevant factors. It suggests adding indicators such as KDJ or MACD, fundamental measures, and portfolio and position controls. The heading mentions a volume ratio above 1, while the body specifies the narrower 1.5-to-6 range; the strategy description consistently uses the latter.

Key ideas

• The screen requires RSI below 65 and a positive product of price change and net large-order volume.
• It restricts the volume ratio to between 1.5 and 6 to focus on stocks with elevated but bounded activity.
• The article provides example formulas and a sample data filter, but no backtest evidence.
• The author cautions that market regime changes and omitted fundamentals can limit the approach.
• Suggested extensions include additional indicators, fundamental filters, and position controls.

Tags

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