Stock Screening with RSI, Large-Order Flow, and Buy-Sell Volume Imbalance

Summary

This document outlines a stock screen combining RSI below 65, the product of percentage price change and a large-order net-flow measure above 1, and an outside-volume to inside-volume ratio above 1.3. The stated rationale is to combine a technical indicator with measures intended to represent order flow and buying pressure. The article provides no formula implementation, and its Python example adds turnover and valuation filters that are not included in the stated rule, so the code would screen a different set of stocks.

The author cautions that technical signals do not fully capture price direction, data may be incomplete or inaccurate, and focusing on order flow omits fundamentals and other market influences. Suggested refinements include fundamental and broader market factors, along with additional technical indicators. The document supplies no backtest, sample results, or evidence that these conditions identify stocks with positive future returns. The thresholds should therefore be treated as an unvalidated screening hypothesis, with particular care taken to define and verify the flow and volume fields.

Key ideas

• The stated screen combines RSI below 65, a price-change and large-order-flow product above 1, and an outside-to-inside volume ratio above 1.3.
• The Python example adds turnover and valuation filters absent from the stated rule.
• The article flags signal limitations, data quality concerns, and the omission of fundamental and broader market factors.
• No backtest or results are provided to validate the screen.

Tags

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