Screening A-Shares with RSI, Bid-Ask Volume, and Prior Limit-Down Auctions

Summary

This A-share screen combines RSI below 65, greater displayed buying than selling volume, and a prior-day 9:15 matching price described as limit-down. The article interprets the order-book imbalance as relatively strong current demand despite a severe price signal in the prior auction. Its sample logic compares the current open with the prior matching price, then ranks qualifying stocks by auction amount and selects a small group.

The article provides formulas and a Python example, but no historical test, returns, or evidence that the combination predicts subsequent performance. The specified conditions also mix a prior matching price with the next day's opening price, and the example relies on time-stamped data whose availability and meaning may vary by feed. It characterizes the screen as operationally demanding and risky, and suggests adding fundamental analysis and other filters. The apparent tension between a prior limit-down signal and current strength is central to the idea but remains unexplored empirically.

Key ideas

• The proposed filter requires RSI below 65 and displayed bid volume greater than ask volume.
• It also looks for a prior-day 9:15 matching price at the limit-down level and compares that reference with the current open.
• Qualifying stocks are ranked by auction amount, but the document reports no performance testing.
• The approach depends on reliable time-stamped auction and order-book data and may need additional filters.

Tags

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