A-Share Screening with RSI, Order Flow, Auction Returns, and Size

Summary

This document describes an A-share stock screen combining a 14-period RSI below 65, an external-to-internal trading volume ratio above 1.3, and an auction return between -2% and 5%. Its code examples also impose a circulating market value range of 5–10 billion yuan. The intended use is to identify candidates by blending a momentum condition, a proxy for buying pressure, and a short-term price filter.

The post explains the rationale in broad terms and suggests adding volume, price-change, industry, or macroeconomic information, as well as reviewing the rules over time. It provides no backtest, performance evidence, or detailed validation of the volume proxy. Auction returns can reflect transient sentiment or news, and the screen may favor short-term conditions over longer-term prospects. The examples differ in their data fields and calculations, so the implementation details would need checking before use; the rules are screening criteria, not a complete trading or risk-management plan.

Key ideas

• The screen requires RSI below 65 and an external-to-internal volume ratio above 1.3.
• It limits the auction return to between -2% and 5%.
• The code examples also restrict circulating market value to a stated range.
• The post identifies short-term sentiment and neglected long-term factors as limitations.
• It offers no measured evidence that the screen predicts returns.

Tags

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