Chinese Stock Screening with RSI, Order-Book Imbalance, and Turnover

Summary

This Chinese stock-screening idea combines three conditions: a 14-period RSI below 65, greater volume at the best bid than at the best ask, and turnover between 2% and 9%. The accompanying explanation treats RSI as a price-condition filter, bid-versus-ask volume as a sentiment signal, and turnover as a way to avoid both thin trading and unusually intense activity. It also includes sample indicator and Python screening code; the Python example adds a market-value threshold that is not part of the stated three-condition rule.

The post offers no backtest, performance figures, or evidence that the filters predict returns. It cautions that the method omits company fundamentals and financial data, and that turnover can change quickly. It recommends considering fundamentals, industry conditions, market context, and portfolio construction alongside the screen. The criteria are presented as a starting point rather than a validated standalone strategy.

Key ideas

• The screen requires RSI below 65, stronger best-bid than best-ask volume, and turnover between 2% and 9%.
• The explanation assigns price conditions, order-book sentiment, and liquidity roles to the three filters.
• The sample Python implementation adds a market-value condition beyond the main screening rule.
• The post presents no performance evidence and warns that the screen omits fundamentals.
• Turnover can change quickly, so the author recommends broader analysis and risk control.

Tags

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