A Simple Stock Screen Using Volatility, Institutional Flow, and Price

Summary

The proposed screen selects stocks after the open when their five-period amplitude measure exceeds a threshold, the measured institutional participation rate changes materially from the prior day, and the share price equals a specified level. The document frames amplitude as a measure of short-term movement and the participation-rate change as a signal of shifting institutional activity. It also suggests that the chosen price level might act as support or precede a rebound, though it provides no evidence for that interpretation.

The author warns that these few conditions omit broader market and company factors and recommends adding measures such as relative strength or MACD, evaluating a wider stock universe, and applying risk controls. No backtest results or predictive evidence are presented. The fixed price condition is narrow, the meaning of “institutional bottom-fishing” is approximated by a change in participation rate, and the sample data calls and formulas do not demonstrate a validated implementation.

Key ideas

• The screen combines a short-term amplitude threshold, a day-over-day change in institutional participation, and an exact share-price condition.
• The document interprets amplitude as a sign of near-term movement and participation changes as evidence of shifting institutional activity.
• The proposed support or rebound interpretation of the price condition is not supported by reported analysis.
• The author identifies omitted market and company factors and suggests additional indicators and risk management.
• No backtest or validated implementation is provided, and the fixed price filter may be restrictive.

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