A Seven-Day Decline Screen with Turnover and Large-Order Flow

Summary

This stock-selection rule screens for shares with turnover between 3% and 12%, seven consecutive down days, and a positive product of the latest price change and large-order net-flow ratio. The article presents the rule as a way to combine trading activity, recent price behavior, and institutional-flow data. It gives formula and Python examples, but does not report a backtest or performance evidence.

The author identifies risks from momentum-like buying or selling at poor times and from relying too heavily on technical conditions and large-order activity, which may overlook fundamentals or valuation. Suggested refinements include adding fundamental, valuation, and macroeconomic inputs and adjusting the screening conditions to fit the investor’s objectives. The examples contain platform- and data-specific field assumptions, and the final proposed screen includes fundamental and valuation review without specifying how to implement those checks.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects stocks with seven consecutive down days and a positive price-change-by-large-order-flow product.
• The article offers formula and Python examples but provides no performance results.
• The author recommends adding fundamental and valuation criteria to address weaknesses in a purely technical screen.

Tags

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