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

Summary

The screen combines a relative strength index below 65 with a ratio of external to internal trading volume above 1.3, then ranks qualifying stocks by the day’s auction amount and selects the top five. The document presents both a database-style query and a Python example, alongside a discussion of possible refinements such as adding valuation and earnings measures and periodically reviewing the selection rules.

The author cautions that auction value is a short-term measure and may not reflect long-term investment value, while a top-ranked screen can overlook less conspicuous opportunities. The selection process is also described as vulnerable to subjective choices. The examples do not establish performance: the Python code introduces additional filters and computes a ranking from quote data, so it does not transparently implement the stated auction-based rule. No backtest results, execution assumptions, or risk statistics are supplied.

Key ideas

• The proposed screen requires RSI below 65 and an external-to-internal trading volume ratio above 1.3.
• Qualifying stocks are ranked by auction amount, with the top five selected.
• The document discusses adding fundamental measures and reviewing the screening rules over time.
• Auction activity may be a short-term signal and can omit stocks with less visible potential.
• The code example adds conditions that differ from the stated screening logic, and no performance evidence is provided.

Tags

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