Stock Screening with RSI, Bid-Ask Imbalance, and Auction Turnover

Summary

This stock-selection proposal filters for shares with a 14-period RSI below 65, displayed best-bid volume greater than best-ask volume, and prior-day auction turnover above 0.26. The stated rationale is to combine a technical condition with signs of order-book demand and trading activity. The source describes these as technical and fundamental considerations, although the listed filters do not specify a conventional fundamental valuation or financial-statement measure.

The document provides formula and Python examples for applying the conditions, but reports no backtest, holdings, transaction costs, or performance statistics. It warns that the filters may return too few stocks and that market and company conditions can make the signals misleading. It suggests testing additional measures, including valuation ratios and volatility, and varying rules or weights by market regime. The stated thresholds define a screening idea only; they do not establish a complete portfolio construction or execution method, and the claimed growth potential is not supported with evidence.

Key ideas

• The screen selects stocks with a 14-period RSI below 65.
• It also requires best-bid volume to exceed best-ask volume and prior-day auction turnover to exceed 0.26.
• The proposed rationale combines price momentum context with order-book and activity measures.
• The source offers no backtest results, transaction-cost analysis, or portfolio-level evidence.
• The screen may produce few candidates, and its signals can be wrong across changing market conditions.

Tags

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