A-Share Stock Screen Using Intraday Activity, Turnover, and RSI

Summary

This Chinese A-share screening strategy combines a price-range condition, prior-day turnover, the ratio of current auction volume to prior-day volume, and a short-period RSI filter. It selects stocks whose stated range measure exceeds 1, whose turnover-volume product falls between 0.5 and 2, and whose six-period RSI is below 65. The article also provides indicator definitions and a sample Python-style screening workflow, including a positive net money-flow condition.

The document explains the rationale as finding stocks with notable price movement and trading activity while avoiding higher RSI readings. It does not provide backtest results or evidence that the criteria predict returns. It cautions that the screen relies on short-term technical and volume measures, omits company fundamentals, and is exposed to market risk. It suggests adding fundamental measures and stronger risk controls, but does not define or evaluate those additions. The sample code and written screening conditions should be checked for data-field and formula consistency before use.

Key ideas

• The screen combines a price-range threshold with a turnover-weighted auction-volume ratio.
• It requires the turnover-volume measure to lie between 0.5 and 2 and the six-period RSI to be below 65.
• The sample workflow also checks for positive net money flow.
• The document supplies no measured returns and warns that the screen omits fundamentals and remains exposed to market risk.

Tags

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