Screening 2021 IPOs with RSI and Best-Level Order-Book Volume

Summary

This note describes a Chinese stock screen requiring an RSI below 65, greater displayed buy-side than sell-side volume at the best quote, and an issuance year of 2021. It presents RSI as a price-momentum measure and the order-book comparison as a gauge of buying interest. The accompanying example also includes a market-capitalization filter, which is not stated in the article's main screening rule, and illustrates calculating RSI and filtering candidate stocks.

The document supplies no backtest or evidence that these conditions generate excess returns. It cautions that the screen ignores company fundamentals, financial data, industry conditions, and liquidity, and that IPO year alone is a crude selection criterion. It suggests combining technical and market data with fundamental analysis and portfolio risk controls. The distinction between displayed quote volume and executed trading volume is not discussed, limiting interpretation of the order-book signal.

Key ideas

• The proposed screen combines RSI below 65, stronger best-level displayed buy volume, and a 2021 issuance year.
• The example code adds a market-capitalization condition not included in the stated screen.
• The note provides no performance evidence for the selection rules.
• It warns that the criteria omit fundamentals, industry context, and liquidity considerations.
• It recommends broader analysis and risk management when evaluating selected stocks.

Tags

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