Stock Screening with RSI, Order-Flow Ratio, Volume, and a Gap Up

Summary

This note outlines a short-term stock screen combining four conditions: RSI below 65, external volume divided by internal volume above 1.3, current volume above 10,000 lots, and an opening price above the prior close. It presents the ratio as a possible sign of buying pressure, volume as a measure of activity, and a gap up as a sign of favorable market sentiment. Formula and Python examples are included to illustrate how the conditions might be applied to Chinese A-share data.

The article gives no backtest or measured evidence that the screen produces stable returns. It cautions that the rule omits fundamental analysis, that brief opening moves and volume spikes may not persist, and that repeated rule adjustments can overfit. It recommends considering longer-term signals and broader data, then testing and revising the rules. The title mentions a ratio above 1, while the body and formula specify 1.3; the stated operational threshold is therefore inconsistent and should be verified before use.

Key ideas

• The screen combines RSI, external-to-internal volume, current volume, and an opening gap condition.
• The body specifies an external-to-internal volume ratio above 1.3, despite a different threshold in the title.
• The article offers example implementations but no performance evidence.
• Brief volume spikes and opening gains may not persist, and rule tuning can overfit.
• Longer-window signals and broader data are proposed as possible improvements.

Tags

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