Mainboard Stock Screen Using RSI, Daily Gains, and Afternoon Inflows

Summary

The document describes a Chinese mainboard stock screen combining RSI below 65, a daily gain above 1%, and positive afternoon large-order net inflow. Its rationale treats RSI as a possible rebound signal, the daily gain as evidence of momentum, and afternoon inflows as a sign of buying interest. The examples also include filters for prior-day price moves and, in the Python example, balance-sheet size and valuation ratios.

The article offers SQL-style and Python selection examples, but it provides no backtest, performance figures, or empirical validation for the expected excess returns. Its explanation of RSI as indicating an oversold condition at this threshold is asserted rather than demonstrated. It notes that single-indicator signals can be distorted by unexpected events and that order-flow measures have multiple influences. It recommends adding other factors and tuning the model, including with machine learning, while maintaining risk controls; these are suggestions rather than tested improvements.

Key ideas

• The screen combines RSI below 65, a daily gain above 1%, mainboard eligibility, and positive afternoon net inflow.
• The article interprets RSI as a potential rebound signal and daily gains as evidence of continued momentum.
• The code examples add prior-day move limits, while the Python example also applies size and valuation filters.
• The document reports no performance test or evidence that the screen earns excess returns.
• It identifies event-driven signal errors and unstable order-flow measures as risks.

Tags

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