A-Share Screening with RSI, Order Flow, Auction Activity, and Valuation

Summary

The document describes an A-share stock screen that combines a 14-period RSI ceiling with the sign of price change multiplied by a five-day proxy for large-order flow. It also filters for positive auction-period price movement and buying activity, minimum large and extra-large order totals, and a price-to-earnings ratio below 30. The article provides example indicator logic and Python-like implementation guidance, but the formulas and data fields differ across those examples, so they do not define one fully consistent implementation.

The rationale is to find stocks with favorable short-term price and large-order signals while limiting valuation. The article offers no performance results or historical validation for the screen. It cautions that changing market conditions, speculative activity, and delays between selection and execution can undermine results. It recommends adding risk controls and refining the selection rules, but does not specify a tested exit method or risk model.

Key ideas

• The screen uses RSI below 65 and requires price change multiplied by a five-day large-order proxy to be positive.
• Auction-period price and order-flow conditions are combined with minimum large-order purchase thresholds.
• The final selection also requires a price-to-earnings ratio below 30.
• The article provides implementation examples, but their formulas and data handling are not fully consistent.
• It warns that market shifts, speculation, and delayed follow-up can reduce the screen’s usefulness.

Tags

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