Screening Chinese Stocks with RSI, Order Flow, and Turnover Filters

Summary

This Chinese A-share screening recipe combines three filters: RSI below 65, the ratio of external to internal trading volume above 1.3, and prior-day actual turnover between 3% and 28%. The article presents these as measures of technical condition, trading sentiment, and activity, and includes examples of query logic and a Python-style workflow for collecting data and filtering candidates.

The source cautions that the indicators lag and can miss rapid rallies, while turnover varies with market activity and trading costs. It also notes that these filters cannot remove broad market or institutional risks, and suggests adding valuation, market capitalization, financial statements, and industry research. No backtest, candidate list, or return evidence is shown, so the criteria should be read as a proposed screen rather than a validated strategy. The Python example also contains extra conditions beyond the headline rules, making the exact implementation less consistent than the stated screen.

Key ideas

• The stated screen requires RSI below 65 and an external-to-internal volume ratio above 1.3.
• It also filters for prior-day actual turnover between 3% and 28%.
• The article notes that lagging indicators may miss fast price moves and turnover is affected by changing market conditions.
• It recommends supplementing technical filters with valuation, company, and industry information.
• No evidence is provided that the screen has been backtested or is profitable.

Tags

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