Stock Screening with RSI and Large-Order Net Inflows

Summary

The document describes a Chinese equity screening rule that combines a 14-period RSI below 65, the product of daily percentage change and super-large-order net inflow, and large-order net inflow above 0.05 over three consecutive days. Its stated aim is to find stocks with active capital flows and favorable technical conditions. A Python example further applies positive price-to-book and price-to-earnings filters and uses a three-period rolling average for the large-order flow condition.

The post does not provide backtest results, data definitions, or evidence that the screen is profitable. It flags that the consecutive inflow threshold may be too strict and could exclude strong stocks, and that absolute amplitude may fail to represent relative movement. Suggested refinements include adding indicators such as KDJ or MACD, incorporating size, industry, and fundamental factors, and adjusting weights. The implementation details and threshold wording are not fully aligned, so the screening rule would need clarification before reproduction.

Key ideas

• The screen combines an RSI ceiling with price-change and large-order flow conditions.
• It requires positive large-order net inflow over a run of three days, using a threshold above 0.05.
• The sample code also filters for positive price-to-book and price-to-earnings values.
• The post warns that strict flow and amplitude rules may exclude some candidates.
• It suggests adding technical, industry, size, and fundamental variables.

Tags

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