Combining RSI, Price Change, and Large-Order Flow in a Stock Screen

Summary

This Chinese stock-selection strategy combines a relative strength index below 65 with the product of price change and net volume from very large orders. It also requires that the stock recorded at least one daily gain of 10% or more within the previous 25 trading days. A code example adds an exclusion for special-treatment stocks. The rationale is to combine a momentum or heat signal with an RSI condition and an indicator of large-order activity.

The article explains the proposed filters but provides no backtest, comparison, or measured return evidence. It warns that the screen leaves out company fundamentals and that results may depend on parameter choices. Suggested refinements include adding other technical measures, fundamental data, and quantitative weighting. The code and the written description do not fully establish how every input is computed or whether the screen has been tested, so the stated rationale should not be read as evidence of reduced risk or excess returns.

Key ideas

• The screen requires RSI below 65 and a positive product of price change and net very-large-order volume.
• It also requires at least one daily gain of 10% or more in the prior 25 trading days.
• The article proposes that the filters combine technical conditions with a measure of trading activity.
• It identifies missing fundamental analysis and parameter sensitivity as limitations.
• No test results are supplied to establish the strategy’s performance.

Tags

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