A Stock Screen Combining RSI, Price Change, Large-Order Flow, and Auction Buying

Summary

This Chinese-language post describes an equity screening rule that combines a 14-period RSI below 65, price change multiplied by a measure of large-order net inflow, and positive net buying by major participants in the opening auction. Its sample Python filter also applies positive valuation checks, a turnover threshold, and a cap on the number of returned stocks. The rationale is to combine a technical condition with indicators intended to represent trading activity and buying pressure.

The post provides no backtest, performance statistics, benchmark, or detailed definitions for the order-flow fields, so the proposed relationship between the signals and future returns remains unverified. It warns that indicators may lag or miss changing conditions, auction buying can be risky, and single-indicator screens may fail during unusual events. It suggests testing other indicators, changing thresholds, and varying the number of selected stocks, but does not specify a validation method or risk controls for portfolio construction.

Key ideas

• The screen requires RSI below 65 and positive net buying by major participants in the opening auction.
• It ranks or filters stocks using the product of price change and large-order net inflow.
• The sample implementation adds turnover and valuation filters and limits the output list.
• The post provides no empirical validation and warns that signals can lag or omit unusual market conditions.

Tags

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