A Stock Screen Using Intraday Range, Large-Order Flows, and the 10-Day Average

Summary

This post outlines a short-term equity screen based on three conditions: daily high-low amplitude above 1%, afternoon large-order net inflow, and an opening price between the prior and current 10-day moving averages. It gives formula and Python examples for calculating the range condition and moving-average boundaries, and describes a price-and-volume expression as a proxy for large-order inflow. The examples show how technical and flow-related filters might be combined into a candidate list.

The author notes that the screen focuses on a few short-term signals and omits longer-term market direction and company fundamentals. The post also says that indicator definitions and calculations can affect reliability, and recommends backtesting, adding valuation or other factors, and controlling position and capital risk. It provides no backtest results or evidence that the conditions predict returns; the large-order proxy and sample code should therefore be treated cautiously.

Key ideas

• The screen combines a daily amplitude threshold, a proxy for afternoon large-order inflow, and an opening price near the 10-day average.
• The moving-average condition places the open above the previous 10-day average and below the current one.
• The post identifies the short-term focus and lack of fundamental analysis as limitations.
• It recommends backtesting, considering additional market and company factors, and managing position risk.
• No performance evidence is reported, and the code's flow measure is only a proxy.

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