Stock Screening with RSI, Order-Book Imbalance, and Turnover

Summary

The document describes an equity screen combining three conditions: a 14-period RSI below 65, greater displayed buy-side than sell-side volume at the best quotes, and prior-day turnover above 8%. It presents the RSI as a price-state measure, the quote-volume comparison as a sentiment signal, and turnover as an indication of tradability. A Python example also applies a market-cap threshold, though that condition is not part of the stated final screening logic.

The post offers rationale for the filters but no backtest results, performance figures, or evidence that they produce positive returns. It notes that the screen omits company fundamentals, financial data, and industry trends, and that high turnover or buying pressure can carry risks. The example code and indicator formula may not map cleanly to the prose, so implementation details and data definitions would need checking. The document recommends combining the signals with broader analysis and risk controls; it does not specify position sizing, exit rules, or portfolio construction.

Key ideas

• The screen selects stocks with a 14-period RSI below 65.
• It also requires best-bid volume to exceed best-ask volume and prior-day turnover to exceed 8%.
• The post interprets turnover as a liquidity consideration and quote-volume imbalance as a sentiment cue.
• The document provides no performance evidence or defined entry, exit, and portfolio rules.
• Fundamental, industry, and risk analysis are suggested as additions to the screen.

Tags

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