Stock Screening with RSI, Auction Turnover, and Trading Activity

Summary

This note describes an A-share stock screen using RSI below 65, prior-day auction turnover above 0.26, and evidence of trading activity during 2021. It also gives an example implementation that filters circulating market value, calculates RSI from daily prices, uses turnover data, and ranks selected stocks by price. The article frames RSI as a measure of overbought or oversold conditions and auction turnover as a sign of trading activity.

The note offers no backtest, performance figures, or evidence that the screen predicts returns. Its prose and sample code do not align perfectly: the code adds market-value bounds and uses a trade-day calculation, while the stated rule refers to trading during 2021. It suggests adding sentiment, capital-flow, and trend measures, but supplies no tested rules for those additions. The screen is therefore a rule example rather than a validated strategy, and its own discussion warns that volatile markets and timing constraints may increase risk.

Key ideas

• The stated screen requires RSI below 65 and prior-day auction turnover above 0.26.
• The article also conditions selection on trading activity during 2021.
• Its sample code adds circulating-value bounds and ranks selected stocks by price.
• No backtest or return evidence is presented, and the implementation differs from parts of the prose.

Tags

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