RSI and Order Book Volume Filters for an Early Stock Screen

Summary

This Chinese equities screening post combines an RSI threshold below 65 with a condition that best bid volume exceeds best ask volume. It excludes stocks marked ST, restricts selection to before 10 a.m., and describes using a limit-up approach as a subsequent trading step. Its formula and Python examples also mention checking whether price is above a five-day moving average and whether the stock has not yet reached the daily limit. Together, these filters aim to identify short-term candidates with favorable price and order-book conditions.

The post offers no backtest or reported results, and its explanation does not establish that the filters predict gains. It acknowledges that the method gives little attention to fundamentals and other market variables, may be exposed to short-term volatility, and needs timely trade management. It suggests adding business and profitability information and setting exit controls. The examples should be checked carefully before implementation because the described time, price, and limit-up conditions are not fully explained as a tested system.

Key ideas

• The screen requires RSI below 65 and best bid volume greater than best ask volume.
• It excludes ST-designated shares and limits stock selection to before 10 a.m.
• The described follow-up method looks for stocks below the daily limit and above their five-day moving average.
• The post reports no strategy performance and flags short-term volatility and limited fundamental analysis as risks.
• It recommends adding company information and defining stop-loss and take-profit levels.

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