A-Share Screening with RSI, Order-Flow Ratio, and Auction Turnover

Summary

This document describes an A-share stock screen using three conditions: RSI below 65, an external-to-internal volume ratio above 1.3, and previous-day auction turnover above 0.26. It provides an indicator formula and Python example, which also adds a moving-average uptrend check. The implementation examples do not fully align with the stated screening conditions, so the intended rule and its coding details should be checked before use.

The note says auction turnover is intended to identify active stocks and flags its sensitivity to market stimuli. It also cautions that technical-only selection may omit company fundamentals and that rapidly rising stocks can be overpriced. It recommends broader analysis and ongoing validation, but reports no backtest or performance evidence. The conditions are a candidate screen, not proof of future returns.

Key ideas

• The stated screen requires RSI below 65, an external-to-internal volume ratio above 1.3, and prior-day auction turnover above 0.26.
• The Python example adds a moving-average trend check, while the formula and prose contain implementation details that should be reconciled.
• Auction turnover can fluctuate with market events and may not indicate durable strength.
• The document identifies the lack of fundamental analysis and provides no test results.

Tags

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