A Share Screen Combining RSI, Order Flow, and Auction Activity

Summary

This document proposes a Chinese A-share selection screen combining a relative strength index below 65 with a ratio of external to internal trades above 1.3. It also filters for a product of the prior day’s turnover rate and the ratio of current auction volume to prior volume falling between 0.5 and 2. The accompanying explanation presents these conditions as a way to find stocks with technical strength and buying interest, and includes example screening logic and Python-style implementation details.

The article offers no backtest, sample period, benchmark, or measured performance. It warns that technical indicators can fail, market conditions can shift, and order flow or other inputs may be misleading. It recommends considering other indicators and fundamental information, but does not specify or test a complete multi-factor model. The screen is therefore a set of proposed filters rather than evidence of a validated trading strategy.

Key ideas

• The screen requires an RSI reading below 65 and an external-to-internal trade ratio above 1.3.
• It filters turnover and auction-volume activity using a product constrained to a stated range.
• The article supplies example selection logic but no performance test or benchmark.
• Its own caveats include indicator failure, changing market conditions, and the need for broader analysis.

Tags

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