A Stock Screen Combining Amplitude, Large-Order Flow, and Turnover

Summary

This proposed equity screen combines price movement, order-flow activity, and turnover. It looks for stocks with amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and prior-day actual turnover between 3% and 28%. The article provides indicator formulas and sample Python filtering logic, then suggests adding financial filters such as earnings per share and return on equity.

The author warns that the rules may be too permissive, return too many candidates, and omit company fundamentals that can affect prices. Industry, financial, sector, and macroeconomic factors are suggested as possible additions. The examples do not include performance evidence, and the formula and code descriptions appear to use turnover and amplitude calculations that may need careful verification before implementation. No portfolio construction, execution, or exit method is described.

Key ideas

• The screen requires amplitude above 1 and positive large-order net volume for three consecutive days.
• It constrains prior-day turnover to a stated range of 3% to 28%.
• The article suggests adding financial and market-context filters to reduce broad candidate selection.
• Its sample formulas and code require implementation checks, and no backtest results are presented.
• The proposal does not specify portfolio construction or exit rules.

Tags

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