Selecting Chinese Stocks by Auction Value, Amplitude, and RSI

Summary

This note describes a Chinese stock screen that selects shares with amplitude above 1, ranks them among the top five by the day’s auction value, and requires RSI below 65. The rationale combines early trading interest with a price movement filter and a momentum indicator, with the expectation that the selected stocks may have upward potential. It also suggests considering capital flows and valuation measures such as price-to-earnings and price-to-book ratios.

The document provides indicator and Python examples, but they have implementation gaps: the examples do not clearly define the auction ranking or RSI calculation, and the Python conditions appear inconsistent with the stated amplitude criterion. No backtest results or performance evidence are supplied. The author cautions that auction activity can reflect temporary enthusiasm and that short-term price moves and technical patterns can be unreliable, so the screen should be evaluated alongside broader market and company information.

Key ideas

• The screen combines amplitude above 1 with a top-five auction-value rank and RSI below 65.
• The stated rationale is to use auction activity and technical conditions to identify stocks with possible upward momentum.
• The note recommends adding capital-flow and valuation factors for broader assessment.
• The examples leave important indicator details unclear and do not report backtest results.

Tags

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