Stock Screening with RSI, Order Book Volume, and a Shanghai Code Filter

Summary

This document describes a Chinese equity screen that selects stocks with a 14-period RSI below 65, greater displayed buy-side than sell-side volume, and codes beginning with 60. It presents these conditions as a way to combine a technical indicator, an order book comparison, and a market-universe restriction. The article also gives formula and Python examples for expressing the screen, though the Python example adds a market-value threshold that is absent from the stated final logic.

No performance results or empirical evidence are provided, so the proposed opportunity for excess returns is not demonstrated. The document cautions that the screen omits company fundamentals, financial data, industry conditions, and liquidity considerations, and that market volatility can affect outcomes. Restricting the universe by code prefix may also leave few candidates. It recommends combining the signal with fundamental and industry analysis, liquidity checks, and multiple selection approaches to diversify risk; these suggestions are not tested in the article.

Key ideas

• The stated screen requires a 14-period RSI below 65, buy-side displayed volume above sell-side displayed volume, and a stock code beginning with 60.
• The article interprets RSI as a price-condition measure and the order book comparison as a sentiment signal.
• The code-prefix restriction narrows the research universe and may reduce the number of available candidates.
• The strategy is not supported by reported performance tests, and the Python example includes an additional market-value filter.
• The author recommends adding fundamental, industry, and liquidity checks and combining selection methods to manage risk.

Tags

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