RSI, Best-Level Order Volume, and Auction Net Buying Stock Screen

Summary

This note outlines an equity screen requiring a 14-period RSI below 65, displayed buying volume at the best bid greater than volume at the best ask, and positive net buying attributed to major participants during the opening auction. It combines a technical indicator with order-book imbalance and an auction-flow measure. The article interprets the conditions as signs of moderate price momentum and favorable market sentiment.

It supplies formula and Python references for calculating the conditions, but reports no backtest, sample results, or evidence that these signals predict returns. The proposed inputs depend on reliable order-book and auction data, and the note does not discuss data availability, signal timing, or transaction costs. It also recognizes that the screen omits company fundamentals, broader market conditions, and volatility, and that short-term sentiment measures may respond poorly to changing markets. It suggests incorporating those factors, without demonstrating how they would affect the strategy.

Key ideas

• The screen requires RSI below 65, best-bid volume above best-ask volume, and positive opening-auction net buying.
• It combines a price oscillator with order-book imbalance and an auction-flow measure.
• The article offers implementation examples but no backtest or return evidence.
• The method depends on accurate intraday market data and does not address execution costs or timing.
• The author notes that fundamentals, market conditions, and volatility are missing from the screen.

Tags

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