A-Share Screen Using RSI, Seven Down Days, and Auction Volume

Summary

This Chinese-language post proposes screening A-share stocks using three conditions: RSI below 65, seven consecutive sessions in which the close is below the open, and a turnover-adjusted ratio involving the current opening-auction volume and the prior day’s volume between 0.5 and 2. The post also supplies example indicator definitions and a Python sketch intended to select matching stocks. Its rationale is that technical conditions identify stocks of interest while the volume and turnover calculation filters for liquidity; that explanation is the author’s hypothesis rather than evidence of predictive power.

The post warns that the screen omits fundamentals and that the turnover-volume ratio may be inaccurate, creating short-term trading risk. It suggests adding fundamental, industry, capital-flow, and longer-horizon market information, and evaluating the strategy through backtesting. However, it reports no backtest results or out-of-sample validation, and its example code’s data sources and date handling would need checking before use. The screen should therefore be treated as a proposed selection rule, not a demonstrated profitable strategy.

Key ideas

• The proposed screen combines RSI below 65 with seven consecutive down sessions and a turnover-volume ratio filter.
• The post frames the conditions as a way to find stocks with potential, but supplies no performance evidence.
• It flags omitted fundamentals and possible inaccuracies in the volume-based filter as risks.
• It recommends adding broader information and evaluating the strategy with backtesting.

Tags

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