Combining RSI, Market Capitalization, and Large-Order Flow in Stock Selection

Summary

The document describes a Chinese equity screening rule that combines an RSI ceiling, a market-capitalization range, and a ranking of net large-order buying. The intended rationale is to find stocks with moderate size, relatively favorable technical conditions, and stronger apparent institutional buying. Its illustrative implementation ranks candidates by net flow from large and extra-large orders, then selects a small group and orders them by recent price change.

The source warns that the screen omits company finances, competitive conditions, and other fundamental risks, and that rankings can shift with market conditions. It suggests adding profitability and valuation measures, along with other technical indicators, but does not report a backtest, transaction costs, benchmark comparison, or realized performance. Large-order net flow is only a proxy for buying pressure and the screen’s thresholds and ranking choices may be market-specific. The described logic is therefore a screening hypothesis, not evidence of a durable trading edge.

Key ideas

• The screen combines RSI, a specified circulating market-value band, and a ranking of net large-order flow.
• Net large-order flow is calculated from large and extra-large order purchases minus sales.
• The example ranks screened stocks by recent percentage price change before selecting candidates.
• The source notes that the method omits fundamental and competitive analysis and may be unstable as rankings change.
• No performance evidence or transaction-cost analysis is provided.

Tags

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