Stock Screening with RSI, Bid–Ask Volume Imbalance, and Positive Returns

Summary

This stock-selection rule screens for securities with a 14-period RSI below 65, greater volume at the best bid than at the best ask, and a positive daily price change. The document interprets the RSI condition as a way to identify relatively weak or potentially oversold prices, the quote-volume imbalance as a sign of buying interest, and positive returns as evidence of upward movement. A Python example adds a market-capitalization filter, while a separate formula reference expresses the core conditions.

The article offers no backtest results, benchmark, holding period, portfolio construction rules, transaction-cost assumptions, or evidence that these signals predict returns. It also notes that the screen omits company fundamentals, industry conditions, liquidity considerations, and explicit risk controls. The RSI threshold alone does not establish that a stock is oversold, and displayed bid and ask volumes may vary by data source and timing. The rule is best understood as a basic screening example requiring independent validation, not a complete trading strategy.

Key ideas

• The screen selects stocks with a 14-period RSI below 65 and a positive daily price change.
• It also requires best-bid volume to exceed best-ask volume.
• The Python example includes an additional market-capitalization condition.
• The document gives no performance results, holding rules, or transaction-cost analysis.
• It recommends considering fundamentals, liquidity, market context, and risk controls alongside the screen.

Tags

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