Stock Screening with RSI, Order-Book Imbalance, and Auction Volume

Summary

This Chinese-language post describes a stock-selection rule combining three filters: RSI below 65, first-level bid volume greater than ask volume, and a volume ratio based on yesterday’s turnover rate and today’s auction volume relative to yesterday’s volume falling between 0.5 and 2. The author presents the mix as a way to find potential short-term opportunities using price momentum, order-book sentiment, and trading activity.

The post explains the intended role of each filter and includes illustrative formula and Python references. It does not provide backtest results or evidence that the screen predicts gains. The examples leave some volume calculations incomplete, and the rationale for the ratio’s bounds is not empirically established. The author flags reliance on technical signals, sensitivity of volume to market and policy sentiment, and omission of fundamental analysis; suggested refinements include adding business and financial factors or other volume measures. Treat the selection rule as a hypothesis requiring careful validation.

Key ideas

• The screen requires RSI below 65 and first-level bid volume greater than ask volume.
• It also constrains a turnover and auction-volume ratio to a stated range.
• The post frames the filters as a combination of technical, order-book, and volume signals.
• No backtest evidence is provided, and the sample calculations are incomplete.
• The author notes that fundamental factors and volatile volume can limit reliability.

Tags

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