Stock Screening with RSI, Order-Book Imbalance, and Recent Leaderboard Activity

Summary

This Chinese stock-screening example combines three conditions: a 14-period RSI below 65, first-level bid volume greater than ask volume, and an appearance on the previous day’s trading leaderboard. The explanation treats RSI as a price-condition filter, bid-versus-ask volume as a sentiment signal, and leaderboard inclusion as evidence of recent market attention. The accompanying example code also applies a market-cap threshold, which is not included in the stated final screening rule.

The document provides no performance results or validation for the screen. It cautions that the rules omit company fundamentals, financial data, industry trends, liquidity, and broader market conditions, and recommends considering these alongside risk controls and portfolio construction. The indicators’ definitions and data sources are not explained, so the example is best read as a basic screening recipe rather than evidence of a reliable trading strategy.

Key ideas

• The screen selects stocks with RSI below 65, bid volume above ask volume, and prior-day leaderboard presence.
• The accompanying code uses a 14-period RSI and also filters for market capitalization, despite the final rule omitting that condition.
• The document offers no backtest or evidence that the combined filters predict returns.
• Fundamentals, industry conditions, liquidity, market volatility, and portfolio risk are identified as omitted considerations.

Tags

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