Chinese Stock Screen Using RSI, Auction Turnover, and Opening Gain

Summary

This Chinese equity screening rule combines a 14-period RSI below 65, prior-day auction turnover above 0.26, and a 9:25 price gain below 6%. The article describes RSI as a gauge of overbought or oversold conditions, auction turnover as a measure of trading activity, and the early price move as an indicator of short-term direction. It also ranks qualifying stocks by price, with lower-priced names first.

The post provides example formulas and Python-style code for applying the filters. It cautions that the 9:25 threshold may leave few or no candidates and that sharp price moves can make the RSI screen less useful. It suggests testing a different observation window or adding indicators such as moving averages or MACD. No backtest results or performance evidence are presented, and the code and data definitions may require adjustment for a particular market data source.

Key ideas

• The screen requires RSI below 65, prior-day auction turnover above 0.26, and a 9:25 gain below 6%.\nThe stated rationale links RSI to overbought conditions, turnover to activity, and the early gain to short-term trend.\nQualifying stocks are sorted by price in ascending order.\nA restrictive opening-gain threshold may produce few candidates, while extreme moves can limit RSI's usefulness.\nThe article offers sample implementation logic but provides no performance testing.

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