A Stock Screen Combining RSI, Consecutive Down Days, and Auction Turnover

Summary

This document proposes a Chinese stock screen using RSI below 65, three consecutive down sessions, and previous-day auction turnover above 0.26. It frames the conditions as a combination of technical state, price direction, and liquidity, and provides formula and Python examples. The post also mentions adding other liquidity measures and fundamental checks, though it does not define those additional filters precisely.

No backtest results or measured evidence are supplied. The post acknowledges that technical conditions and auction turnover alone can miss fundamental risks, and that high turnover does not establish investment merit. Its examples are internally inconsistent: the prose specifies three consecutive down sessions, while portions of the formulas check prior up sessions or only one prior session, and the final selection includes conditions absent from the stated core rule. These discrepancies make the intended implementation uncertain.

Key ideas

• The stated screen combines RSI below 65, three consecutive down sessions, and previous-day auction turnover above 0.26.
• The document treats these as technical and liquidity filters but supplies no performance evidence.
• It cautions that auction turnover and technical signals do not replace fundamental analysis.
• The written rule and code examples conflict on candle direction and the full set of selection conditions.

Tags

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