Equity Screen Combining RSI, Large-Order Flows, and a Weekly Moving-Average Cross

Summary

This Chinese stock-selection proposal combines three filters: RSI below 65, a positive relationship between percentage price change and net buying by very large orders, and a weekly close crossing above its 30-week moving average. The intended effect is to pair a measure of recent price strength with a trading-flow proxy and a longer-horizon trend confirmation. The sample code also adds liquidity and valuation-related filters and caps the returned list at 50 stocks, though those additions are not central to the stated rule.

The article provides no backtest, performance statistics, or evidence that these signals identify stocks with superior future returns. Its explanation of RSI is questionable, and the text describes a weekly moving-average cross while the code tests recent closes against a rolling average in a way that may not exactly match that description. Large-order flow data and indicator timing also require careful validation. The author notes possible signal lag and recommends combining indicators or adjusting thresholds, but supplies no tested optimization method.

Key ideas

• The proposed screen requires RSI below 65 and a price-change measure multiplied by large-order net flow.
• A weekly price move above the 30-week average serves as the trend filter.
• The sample adds turnover and valuation filters beyond the core description.
• The prose and code may implement the moving-average cross differently.
• No empirical results are supplied, and the document acknowledges lag and indicator limitations.

Tags

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