A Stock Screen Combining Weekly Moving Average Crossovers and Order Flow

Summary

This note proposes screening stocks for daily amplitude above 1, a weekly five-period moving average crossing above the ten-period average, and a ratio of externally initiated buying volume to selling volume greater than 1.3. The combination is intended to identify volatile stocks with improving weekly trend and a favorable order-flow or sentiment reading. The article includes formula and Python-style examples, plus a suggestion to rank qualifying stocks by total assets.

The author warns that order-flow sentiment can favor weak companies experiencing only a short-lived rebound. The note recommends adding company performance measures and more detailed technical and sentiment checks. It does not report any backtest, benchmark, trade timing, or transaction costs. The sample code also proxies the order-flow ratio using volume, price change, and turnover, so its correspondence to the stated external-to-internal volume measure is unclear. The crossover and threshold definitions should be verified against the intended data before research or use.

Key ideas

• The proposed screen combines amplitude above 1, a weekly five-period/ten-period moving-average bullish crossover, and an order-flow ratio above 1.3.
• The filters seek volatile stocks with an improving trend and stronger buying pressure.
• Sentiment-based filters may select weak firms during temporary rebounds.
• The article recommends adding company-performance measures.
• The note supplies no tested results, and its code’s order-flow proxy may differ from the stated condition.

Tags

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