A-Share Screening with RSI, Order Flow, and Auction Net Buying

Summary

This A-share stock screen combines a 14-period RSI below 65 with an external-to-internal trading volume ratio above 1.3 and positive net buying by major participants during the opening auction. The page also gives example implementations and adds filters in its Python example for circulating market capitalization, recent price and volume conditions, money flow, and price relative to a 30-period average. Those extra conditions mean the example code is more restrictive than the stated core screening logic.

The rationale is to combine a technical indicator with trading activity and short-term capital flow. The article warns that auction buying may reflect short-term speculation and that the screen cannot remove overall market risk. It recommends considering additional indicators and macroeconomic or industry conditions, and reviewing the rules periodically. No backtest results or evidence of predictive performance are supplied, and the example data sources and calculations may not correspond exactly to the stated conditions.

Key ideas

• The core screen selects stocks with RSI below 65, an external-to-internal volume ratio above 1.3, and positive auction net buying.
• The code example adds market capitalization, price action, money flow, and moving-average conditions.
• The article frames the inputs as a combination of technical and market activity measures.
• It cautions that auction flows can be speculative and that market risk remains.
• No historical performance test is reported.

Tags

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