RSI, Bid-Ask Volume Imbalance, and Afternoon Large-Order Inflows

Summary

This stock-selection approach filters for an RSI below 65, bid-side displayed volume greater than ask-side volume, and positive afternoon net inflow from large orders. It combines a technical indicator with order-book pressure and a money-flow measure, on the premise that these signals together may point to near-term buying interest. The document includes formula and Python examples, but it presents no backtest, sample, or measured evidence for the strategy’s predictive value.

The note warns that the rules lean heavily on technical signals and market sentiment while leaving out company fundamentals and broader economic conditions. It also says the screen could miss stocks that have already risen sharply and are in a pullback, and that indiscriminate momentum chasing or selling can add risk. Suggested refinements include adding industry and financial measures and considering market cycles. The thresholds and data fields would need clear definitions and testing, especially because displayed bid and ask volumes and large-order flows can change quickly.

Key ideas

• The screen combines RSI below 65, bid volume above ask volume, and positive afternoon large-order net inflow.
• The rationale is that technical conditions and buying pressure may jointly indicate near-term demand.
• The document supplies implementation examples but no performance results.
• The method omits fundamental and macroeconomic factors and may miss stocks undergoing pullbacks.
• Industry, financial, and cycle measures are suggested as additional filters.

Tags

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