Mainland China Stock Screening with RSI, Daily Gains, and Auction Turnover
Summary
This document describes a short-term screen for mainland Chinese main-board stocks. It combines an RSI below 65, a daily gain above 1%, and previous-day opening-auction turnover above 0.26. The rationale is that positive price movement alongside active auction trading may identify stocks with near-term attention and momentum. The article includes sample screening logic and code references, but does not report backtest or live-trading results for this screen.
The author warns that the approach can chase short-term price moves and market themes, while auction activity may be temporary and says little about a company's long-term value. Suggested refinements include adding valuation, profitability, industry and volatility measures, reviewing company fundamentals, and applying risk controls. The thresholds and examples are presented without evidence that they produce profitable results; the screening conditions also warrant careful verification before implementation.
Key ideas
- The screen selects main-board shares with RSI below 65 and a daily gain greater than 1%.\nIt requires previous-day auction turnover above 0.26 as a sign of short-term trading activity.\nThe article provides illustrative screening code but no performance evidence for this particular strategy.\nAuction activity and recent gains may fade, so the author recommends fundamental review and risk controls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.