A-Share Screening with RSI, Seven Down Days, and Auction Turnover

Summary

This document describes an A-share screen combining RSI below 65, seven consecutive sessions in which the close is below the open, and prior-day auction turnover above 0.26. The rationale is that RSI may avoid overbought stocks, a run of down days indicates weakness, and elevated auction turnover may signal trading activity that could draw attention the following day. It also sketches indicator formulas and sample data-processing code, but does not provide measured performance or a backtest.

The author cautions that the screen omits company fundamentals and that auction-turnover thresholds can be subjective and sensitive to market fluctuations, potentially leading to false signals. Suggested extensions include adding financial quality filters and other technical indicators, testing RSI settings on historical data, and refining the turnover criterion. The code sample has an apparent condition mismatch for the seven-day test, so implementation details should be checked before relying on it.

Key ideas

• The screen requires RSI below 65 and seven consecutive sessions with closes below opens.
• It also requires prior-day auction turnover above 0.26.
• The proposed rationale combines a non-overbought reading, recent weakness, and trading activity.
• The document identifies missing fundamental analysis and false signals from volatile turnover as risks.
• It suggests testing indicator settings and adding fundamentals or other technical measures.

Tags

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