A-Share Screening with RSI, Daily Gains, and Auction Price Bounds

Summary

This post outlines a Chinese A-share screening strategy that selects main-board stocks with a 14-period RSI below 65, a daily gain above 1%, and an opening-auction price change between -2% and 5%. The accompanying example adds filters for recent amplitude and circulating market capitalization, then ranks candidates by the close-to-open return. It provides illustrative screening formulas and Python-oriented implementation guidance.

The stated rationale is to combine a technical condition with recent price action and opening-auction sentiment. The author notes that auction moves can react unpredictably to market mood and news, and that technical and sentiment filters may miss changes in company fundamentals. The post recommends considering additional indicators and fundamentals, diversification, and risk controls. It reports no backtest results or evidence of profitability, and its prose and sample filters do not fully align on every selection detail.

Key ideas

• The core screen combines RSI below 65, a daily gain above 1%, main-board eligibility, and an opening-auction change from -2% to 5%.
• The example implementation also includes amplitude and circulating-market-capitalization filters.
• Candidates are ranked by their close-to-open return in the example.
• Opening-auction prices may be affected by sentiment and news, creating uncertainty.
• The post provides no performance testing and recommends broader analysis and diversification.

Tags

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