Screening A-Shares with RSI, Float Value, and Auction Buying

Summary

This post presents a Chinese stock-selection screen using three main conditions: RSI below 65, float market capitalization between 5 billion and 10 billion yuan, and positive net buying attributed to major participants during the opening auction. Its Python example also checks whether the latest close is above a 30-day moving average, removes special-treatment stocks, ranks candidates, and prints a shortlist. The post characterizes RSI as a short-term overbought or oversold measure and the auction flow measure as a way to assess buying pressure.

The article offers a conceptual rationale and implementation sketch, but no backtest or return evidence. It warns that its auction measure may misrepresent activity because it does not account for changes in trading volume, and that short evaluation periods can make RSI signals costly to trade. It also notes that the chosen capitalization band excludes stocks outside that range. The author suggests combining additional technical and fundamental measures and choosing a suitable screening frequency. The code and indicator definitions are not fully specified, so the calculations and data inputs would need checking before research or live use.

Key ideas

• The proposed screen requires RSI below 65, float capitalization from 5 billion to 10 billion yuan, and positive auction net buying.
• The code example adds a close-above-30-day-average condition and excludes special-treatment stocks.
• The post cautions that its auction buying measure may ignore relevant volume changes.
• No backtest or returns evidence is presented, and the example’s data definitions need validation.

Tags

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