A-Share Screen Combining RSI, Market Capitalization, Valuation, and Auction Activity

Summary

This A-share selection method combines an RSI below 65 with a circulating market capitalization between 5 billion and 10 billion yuan, a price-to-earnings ratio no greater than 40, and a ratio of prior turnover multiplied by current opening-auction volume relative to prior volume between 0.5 and 2. The document also gives sample code that ranks qualifying names by previous close and limits the list to five, subject to an additional daily price-change condition.

The article argues that RSI and auction activity can help screen for market condition and trading activity, while noting that the market-cap band may narrow the universe and auction volume may contain outliers. It recommends adding fundamental and industry filters. No backtest results or evidence of predictive performance are presented, and the sample code’s data definitions and implementation would need validation before use.

Key ideas

• The screen combines an RSI threshold with market-cap, valuation, and trading-activity filters.
• Its activity measure uses prior turnover and current auction volume relative to prior volume.
• The sample selection process ranks qualifying stocks and caps the output at five.
• The article flags narrow coverage and unreliable auction-volume data as risks.
• No performance results are supplied.

Tags

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