Stock Screening with Turnover, Large-Order Flow, and RSI

Summary

This Chinese A-share screening proposal combines a turnover-rate range of 3% to 12%, a positive product of daily price change and net large-order flow, and an RSI below 65. The article presents these conditions as a way to find actively traded stocks where price movement and large-order activity point in the same direction, while avoiding stocks it characterizes as excessively volatile. Its sample formulas also add a minimum large-order net amount and require five-day average volume to exceed the ten-day average; the Python example excludes ST stocks and applies the stated turnover and RSI filters.

The article identifies key limitations: the screen does not account for company fundamentals or adequately model price volatility, and it may favor stocks whose activity is concentrated in large orders. It suggests adding fundamental measures such as ROE and EPS, volatility features such as Bollinger Bands, and a more deliberate threshold for large-order flow. No backtest results or performance evidence are provided, and the example implementations do not fully match every detail of the verbal screening rule.

Key ideas

• The proposed screen selects stocks with turnover between 3% and 12%, a positive price-change and large-order-flow product, and RSI below 65.
• The sample formulas also include a large-order net-amount threshold and rising average volume.
• The article warns that the screen omits fundamentals and may select volatile stocks with concentrated investor activity.
• It suggests adding fundamental and volatility measures and refining the large-order-flow threshold.
• No empirical performance results are reported.

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