Stock Screening with RSI, Bid-Ask Volume, and Daily Gains

Summary

This note outlines a mainboard equity screen requiring a 14-period RSI below 65, displayed first-level bid volume greater than ask volume, and a daily gain above 1%. The combination is presented as a way to pair a momentum constraint with order-book imbalance and a positive daily move. The article suggests that adding fundamental data and keeping market data current could improve the selection process.

It includes formula and Python examples, but the stated daily gain is not implemented consistently: both snippets calculate the change using the day’s low relative to the previous close rather than the close. The note gives no backtest or other evidence that the filters improve returns. It also acknowledges that market-wide weakness, active trading, and differences in the character of order flow can undermine the screen. The rules are an idea for further testing, and the input fields, calculation of daily return, and handling of order-book data need verification.

Key ideas

• The stated screen combines RSI below 65, bid volume above ask volume, and a daily gain above 1%.\nThe universe is restricted to mainboard stocks.\nThe examples calculate the daily move from the low rather than the close.\nNo performance evidence is provided, and order-flow readings may be unreliable in changing conditions.

Tags

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