Combining RSI, Earnings Growth, and Order Book Imbalance in a Stock Screen
Summary
The document outlines a stock selection rule that combines a technical indicator, a fundamental growth measure, and a snapshot of order book pressure. It screens for stocks with RSI below a stated ceiling, parent attributable net profit growth within a specified band, and bid volume at the best price greater than ask volume. The supplied examples sketch implementations using financial statement data, price history, and order book fields.
No backtest, trading returns, or validation of the signal is provided. The document notes that order book imbalance may reflect temporary activity or other market forces, and individual stocks can remain volatile despite meeting the filters. It proposes adding valuation, industry, company, or policy information and adjusting thresholds. The examples also use different profit growth calculations, so the operational definition and reporting period would need to be made consistent before evaluation. The screen alone does not define execution, position sizing, or exits.
Key ideas
- The screen requires RSI below a threshold, bounded year over year profit growth, and greater best bid than best ask volume.
- It combines price based, accounting, and order book inputs.
- The document offers implementation sketches but no evidence of predictive performance.
- Order book imbalance can be transient and does not by itself establish durable buying demand.
- Consistent growth definitions and explicit execution and risk rules are needed to evaluate the screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.