Stock Screening with RSI, Order Flow, and Auction Turnover

Summary

This stock-screening recipe filters for a 14-period RSI below 65 and a positive product of percentage price change and the net inflow ratio attributed to very large orders, with the example code applying a threshold above one. It then ranks qualifying stocks by the day’s auction turnover and selects the top five. The accompanying description frames the screen as combining a technical condition with an auction-activity ranking; sample code also filters for positive price-to-book and price-to-earnings values.

The source warns that rankings can be unstable, smaller companies carry greater risk, and RSI or other technical measures may not fit changing market conditions. It suggests exploring additional indicators and valuation measures, but reports no backtest or trading results. The description also loosely characterizes auction turnover as a market-cap factor, though it is an activity measure rather than market capitalization, so that interpretation should be treated cautiously.

Key ideas

• The screen requires 14-period RSI below 65 and a threshold condition on price change multiplied by very-large-order net inflow.
• Qualifying stocks are ranked by auction turnover, with the example selecting five names.
• The sample code also requires positive price-to-book and price-to-earnings values.
• The source identifies unstable rankings, small-company risk, and indicator fit as limitations, but supplies no performance evidence.

Tags

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