A Stock Screen Combining Daily Range, Two-Day Highs, and Large-Order Flow

Summary

This proposed stock screen combines three conditions: daily amplitude above 1, a high equal to the highest high over the current and prior day, and large-order net volume above 0.05 for at least three consecutive days. It frames these filters as a way to combine price movement, recent highs, and buying-flow information. The document also sketches additional filters using moving averages, RSI, and company financial measures such as profit growth and return on equity.

The author cautions that technical filters alone omit company fundamentals and that a strict large-order-flow condition may exclude worthwhile stocks. A longer rolling view of capital flows is suggested to reduce reliance on short-lived changes. No backtest, market definition, or performance evidence is supplied, and the large-order net-volume measure is not fully defined. The conditions are therefore a screening proposal rather than a validated strategy.

Key ideas

• The screen requires amplitude above 1 and a current high matching the two-day maximum.
• It also requires large-order net volume above 0.05 for at least three days.
• Suggested extensions include moving-average, RSI, and fundamental filters.
• The document warns that technical-only criteria and strict flow thresholds can exclude stocks.
• No empirical performance evidence or full definition of the flow measure is provided.

Tags

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