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Stock Screening with RSI, Order Book Volume, and Auction Value

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Summary

This Chinese stock-selection proposal filters for an RSI reading below 65 and first-level bid volume greater than first-level ask volume, then ranks qualifying stocks by the day’s auction value and selects the top five. The post interprets RSI as a measure of price conditions and the bid-versus-ask comparison as a sign of buying interest. It includes formula-style and Python examples that calculate RSI, apply the volume and auction-value filters, and sort candidates by auction value.

The author cautions that the screen excludes fundamental information and may not adapt well to fast-changing markets. Suggested improvements include incorporating company fundamentals and combining additional technical and volume measures. The document does not provide backtest results, execution details, or evidence that the selected stocks outperform. Its criteria describe a daily screening rule, while the meaning and availability of auction data may depend on the market data source and implementation.

Key ideas

  • The screen requires RSI below 65 and greater bid volume than ask volume at the first book level.
  • Qualifying stocks are ranked by daily auction value, with the top five selected.
  • The post recommends adding fundamental context and other technical or volume measures.
  • No backtest evidence or performance results are reported.

Tags

EquitiesTechnical indicatorsMarket microstructureChina markets

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