RSI and Opening Auction Value Screen for Rising Main Board Stocks

Summary

This Chinese equity selection rule screens for main board shares with RSI below 65 and a daily rise greater than 1%, then ranks eligible names by opening auction value and selects the top five. The post presents the ranking as a way to favor stocks with greater opening activity, alongside a technical filter. It includes example query and Python snippets, although their data fields and implementation details are not fully consistent with every part of the stated rule.

The article provides no backtest results or evidence that auction value ranking produces stable returns. It notes that the approach omits company fundamentals and does not adequately account for regular session volume or liquidity; the daily rise threshold also reduces price movement to a simple pass or fail condition. It suggests testing alternative stock pools and combining technical inputs with fundamental, sentiment, and market theme information. Portfolio risk controls and diversification remain relevant, especially because selecting only a handful of stocks can concentrate exposure.

Key ideas

• The screen requires RSI below 65, a daily gain above 1%, and main board listing status.
• Eligible stocks are ranked by opening auction value, with the top five selected.
• The post includes query and Python examples but reports no backtest or return evidence.
• The author identifies omitted fundamentals, regular trading liquidity, and limited risk control as weaknesses.
• Further historical testing, broader inputs, and portfolio diversification are proposed as improvements.

Tags

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