Stock Screening with RSI, Order-Book Volume, and Weekly Moving Average Crossovers

Summary

The document presents a stock-selection rule combining three conditions: RSI below 65, first-level bid volume greater than ask volume, and a weekly five-period moving average crossing above the ten-period average. It interprets the RSI threshold as a momentum filter, the bid-versus-ask volume comparison as a sign of buying interest, and the weekly crossover as an upward trend signal. Formula and Python examples illustrate how the author intends to express the screen, including a prior-period check for the crossover.

The material offers a rationale and implementation sketches, but no backtest, performance evidence, universe definition, or transaction-cost analysis. It warns that technical signals can miss fundamental risks and that trend reversals are hard to time. It suggests adding company fundamentals or other indicators, though it does not test whether these changes improve results. The code’s weekly moving-average approximation and volume-field assumptions may require adjustment to match a platform’s data and timeframe conventions.

Key ideas

• The screen requires RSI below 65, bid volume above ask volume, and a bullish weekly moving-average crossover.
• The conditions combine a technical filter, an order-book comparison, and a trend signal.
• The examples show both a formula-style rule and a Python screening implementation.
• The document provides no empirical performance results or transaction-cost analysis.
• It identifies fundamental risk and delayed trend reversal detection as limitations.

Tags

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