Stock Screening with RSI, Auction Imbalance, and Large-Order Buying

Summary

This Chinese stock-screening strategy combines a 14-period RSI below 65 with a larger best-bid than best-ask volume. It also looks for stocks whose auction move is more than 2% up or down and whose very large-order buying exceeds 70 million yuan. The article presents the screen as a way to combine short-term price movement, order-book balance, and capital flows.

The document supplies indicator-formula and Python examples, but provides no backtest, performance figures, or evidence that the filters predict returns. It cautions that the screen can omit company fundamentals and may say little about longer-term prospects. Large orders may also reflect information leakage, according to the article. It suggests combining the conditions with company and market measures and adjusting the large-order threshold as conditions change. The stated criteria therefore describe a candidate-selection rule, not a validated trading system; the article does not specify entry timing beyond the auction condition, exits, or risk controls.

Key ideas

• The screen requires a 14-period RSI below 65 and best-bid volume greater than best-ask volume.
• It selects stocks with an auction move exceeding 2% in either direction and very large-order buying above 70 million yuan.
• The article combines technical, order-book, and capital-flow conditions but offers no performance evidence.
• It warns that the screen omits fundamentals and may be weak for judging long-term prospects.
• The article recommends combining additional factors and adapting the large-order threshold to changing markets.

Tags

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