A Volatility and Order-Flow Screen for Recent Stock Movers

Summary

This stock-selection method combines price range, recent large gains, and a trading-activity proxy. It looks for stocks with amplitude above 1, at least one daily gain of 10% or more during the past 25 trading days, and an external-to-internal trading volume ratio above 1.3. The article then proposes additional volume tests, fundamental and valuation checks, and technical indicators such as MACD or RSI. It includes example indicator and Python logic, though some proposed filters are left as placeholders.

The rationale is to find volatile stocks with evidence of recent upward movement and stronger buying activity. The article presents no backtest or performance results, and its explanations do not establish that these conditions predict future returns. It notes that a large daily rise may reflect a temporary rebound and that the order-flow ratio can fluctuate sharply with sentiment or news. It also cautions against relying on technical filters without industry and fundamental context.

Key ideas

• The initial screen combines amplitude above 1, a recent daily gain of at least 10%, and an external-to-internal volume ratio above 1.3.
• The proposed expanded screen adds volume comparisons, fundamental and valuation review, and other technical indicators.
• The article provides example logic but leaves some suggested filters unspecified.
• A large daily gain may be a temporary rebound rather than evidence of lasting strength.
• Order-flow ratios are volatile, and the document supplies no performance testing.

Tags

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