Stock Screening with RSI, Order-Book Imbalance, and Position Growth

Summary

This document presents a Chinese equity screening rule combining a 14-period RSI below 65, first-level bid volume greater than ask volume, and daily position growth above 5%. The stated rationale is to find shares with relatively strong technical conditions, active trading, and buying interest. The article also mentions turnover as a possible liquidity filter, although it is not included in the final rule.

It provides indicator and Python examples for applying the filters, but does not report a backtest, performance statistics, or a detailed definition of position growth. It warns that several simultaneous conditions may leave too few candidates and that this short-term measure can be unstable. Suggested refinements include adding volume ratio or turnover, using a longer calculation window, and combining technical and fundamental screening. These ideas are proposals rather than tested improvements, so the selection rule should be treated as an unvalidated stock screen.

Key ideas

• The screen requires RSI below 65, bid-side displayed volume above ask-side volume, and daily position growth above 5%.
• The rule combines a technical oscillator with order-book and investor-position measures.
• Turnover is discussed as a possible activity filter but is absent from the final conditions.
• The article gives example implementations but no performance evaluation.
• The author cautions that many filters can reduce candidate counts and that short-term position growth may be unstable.

Tags

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