Stock Screening with RSI, Bid–Ask Depth, and Prior-Day Limits

Summary

This Chinese-language post describes a stock screen that selects shares with a 14-period RSI below 65, displayed best-bid quantity greater than best-ask quantity, and a prior session that did not close at the daily upper price limit. It frames the RSI condition as a momentum or price-state filter, the displayed depth imbalance as a sentiment signal, and the prior-day exclusion as a way to avoid stocks that already made a large one-day move. The post includes formula and Python examples for applying the conditions.

No backtest, return series, or risk-adjusted results are provided, so the suggested opportunity is not demonstrated. The author flags dependence on technical and sentiment measures, omission of company and macro fundamentals, and the possibility of missing stocks that rally and then pull back. The depth comparison may also be a short-lived snapshot rather than durable demand; the screen is a candidate-generation rule, not a complete investment process.

Key ideas

• The screen combines an RSI threshold, a best-bid versus best-ask quantity comparison, and a prior-day price-limit exclusion.
• The post presents the three conditions as a mix of technical, order-book, and recent-price information.
• It provides formula and Python examples but reports no strategy performance evidence.
• The author notes that the screen omits fundamental and macroeconomic factors and may miss some recovering stocks.

Tags

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