Mainland China Stock Screen Using RSI, Daily Gains, and Auction Prices

Summary

This proposed screen selects main-board stocks using an RSI ceiling, a positive daily gain, and a comparison involving the prior session's opening auction price. Eligible stocks are ranked by auction amount, with the highest-ranked names selected for a small portfolio. The article presents SQL-like and Python examples and suggests that RSI and price action capture technical conditions while auction activity reflects market interest.

The page provides no backtest or evidence that the screen produces stable returns. Its examples also contain timing and logic mismatches: the prose refers to yesterday's 9:15 matching price, while the code uses live or current price fields, and the Python example applies some filters in an order that may change the intended ranking. It acknowledges that fundamentals, liquidity, market themes, and risk controls are not adequately addressed. The proposal is best treated as an unvalidated screening idea requiring careful data and execution checks.

Key ideas

• The proposed screen combines an RSI threshold, a daily gain condition, and an auction-price comparison.
• Eligible stocks are ranked by auction amount before selecting a limited number.
• The article includes implementation sketches but no performance test.
• The code examples may not faithfully reproduce the stated timing and filtering logic.
• The strategy omits important considerations such as fundamentals, liquidity, and portfolio risk controls.

Tags

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