Stock Screening with Amplitude, RSI, and Large-Order Net Flow

Summary

The document describes a stock screen combining daily amplitude above 1, RSI below 65, and large-order net flow above 0.05 for at least three consecutive days. It gives a formula for amplitude relative to the previous close and suggests using the buy-side and sell-side large-order net amounts alongside the RSI condition. Example expressions are provided for implementing the criteria in a stock-selection workflow.

The screen aims to combine price movement, an RSI threshold, and sustained large-order activity. The document does not provide backtest results or evidence that the rules predict returns. It cautions that large-order flow can overshadow fundamentals or other market drivers, and that its calculation must distinguish buying from selling. It suggests adding other indicators, testing the rules empirically, and applying risk controls. The examples also leave some ambiguity about whether both buy and sell flow conditions must hold, so the screen’s precise implementation needs clarification.

Key ideas

• The screen requires amplitude above 1 and RSI below 65.
• It adds a large-order net amount threshold above 0.05 for at least three consecutive days.
• The suggested amplitude measure compares the high-low range with the previous close.
• The document recommends testing the rules and adding risk controls before practical use.

Tags

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