A-Share Screening with RSI, Price Gains, and Auction Volume

Summary

This Chinese-language post proposes screening mainland Chinese stocks using an RSI below 65, a daily gain above 1%, and a main-board listing. It adds a liquidity condition: yesterday’s turnover rate multiplied by today’s opening-auction volume divided by yesterday’s volume must fall between 0.5 and 2. The stated rationale combines a not-overheated RSI reading, positive price movement, and a check on trading activity. The post also discusses filtering out special-treatment stocks and gives example SQL and Python implementations, including additional size, valuation, and moving-average conditions in the Python illustration.

The material does not report a backtest, returns, or transaction costs. It acknowledges that the parameter choices are subjective and may need adjustment, and suggests algorithmic optimization while warning about reliance on historical data. The code examples also use specific historical dates and contain implementation details that do not cleanly mirror the headline screen, so they should not be taken as a verified or reproducible test of the stated selection logic.

Key ideas

• The proposed screen combines an RSI ceiling with a minimum daily price gain for main-board shares.
• A turnover and auction-volume ratio is used to constrain trading activity.
• The Python example adds valuation, asset-size, special-treatment, and moving-average filters.
• The post presents no performance evidence and warns that the rules are subjective and sensitive to market changes.

Tags

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