Combining RSI, Order-Flow Imbalance, and ROE in an A-Share Screen

Summary

This A-share screening idea combines a 14-period RSI below 65 with a buy-side to sell-side volume ratio above 1.3 and a profitability filter based on return on equity. The discussion frames RSI as a way to avoid the most overbought conditions, the volume ratio as a sign of stronger buying interest, and sustained ROE as a measure of company quality. It also suggests considering financial statements, sector context, and other technical indicators when assessing candidates.

The document’s stated screen and sample code do not align fully: the narrative calls for ROE above 15% in each of five years, while the code accepts a qualifying value in any one of the sampled years and adds a positive but bounded ten-day return filter. No backtest, investment returns, or validation evidence is presented. The article cautions that ROE alone is incomplete and that short evaluation windows can be distorted by one-off factors, so the rule should be treated as a screening hypothesis rather than a tested strategy.

Key ideas

• The proposed screen uses RSI below 65 and a buy-to-sell volume ratio above 1.3.
• The narrative adds a five-year ROE threshold, but the example code checks for a qualifying value in any one sampled year.
• The example code also applies a positive, capped ten-day price-change filter.
• The article provides no tested performance evidence and notes that ROE alone cannot represent overall financial quality.

Tags

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