Screening for Seven Down Days, RSI, and High Opening Auction Value

Summary

This stock-selection note combines RSI below 65 with seven consecutive down sessions, then ranks candidates by the day’s opening auction value and selects the top five. The proposed interpretation is that high auction value reflects market attention and could coincide with a rebound opportunity. The article’s final formulation adds a market-capitalization range of 50 to 100 billion, while its example code also describes filters involving listed shares and exchange.

The note frames the approach as a short-term technical and attention-based screen. It warns that the method gives little weight to company finances, industry conditions, or unexpected negative news, and that auction value can fluctuate with sentiment. It proposes including valuation and company fundamentals as additional criteria. The provided material explains the rules and offers illustrative code, but supplies no backtest, return figures, or evidence that the proposed rebound premise works reliably.

Key ideas

• The screen requires RSI below 65 and seven consecutive sessions in which the close is no higher than the open.
• Candidates are ranked by opening auction value, with the top five selected.
• The final described screen adds a market-capitalization band of 50 to 100 billion.
• Auction activity may reflect short-term attention, but the note gives no test evidence for rebound performance.
• The author flags fundamental and event risks and suggests adding company-level measures.

Tags

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