A Turnover and Order-Flow Screen Ranked by Auction Activity
Summary
The proposed stock screen first selects shares with turnover between 3% and 12% and an external-to-internal traded-volume ratio above 1.3. It then ranks eligible stocks by the day’s auction amount and takes the five highest-ranked names. The stated rationale is that auction activity can help identify actively traded stocks, while the volume ratio and turnover provide additional trading-activity filters. The article also sketches a possible extension that adds company fundamentals and industry characteristics.
No backtest, return series, or risk statistics are supplied to establish whether the screen works. The article acknowledges that the rules rely on technical and market-activity data without accounting for fundamentals or industry context, and that the added measures may not improve selection accuracy. Its code examples are implementation references, not validation. The method therefore describes a simple screening rule rather than a complete portfolio strategy: it does not specify holding duration, exit conditions, portfolio weights, transaction costs, or risk limits.
Key ideas
- Filter stocks using a turnover range and an external-to-internal volume ratio threshold.
- Rank qualifying shares by auction amount and select the leading names.
- The article gives no performance evidence for the screen.
- Fundamentals and industry measures are suggested as possible additional filters.
- A complete strategy would also need holding, exit, cost, and risk rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.