Combining Moving-Average Trend, Large-Order Flow, and Position Changes

Summary

This post outlines a stock-selection idea combining a short-versus-long moving-average trend filter with measures of daily position increases and large-order net flow. The initial logic highlights a positive position-increase share, the product of price change and large-order net quantity, and a shorter moving average above a longer one. Its explanation frames these as signs of capital interest, active price movement, and stronger recent trend. Sample code sketches calculations for position share, price change, net large-order flow, and moving averages.

The post also proposes valuation, Bollinger-band, moving-average, policy, and economic conditions as possible refinements, but does not reconcile all of these additions with the earlier rule or provide a complete tested implementation. No backtest or performance evidence is reported. Risks noted include elevated prices, volatility, and rapid short-term gains; the discussion also cautions that the screen omits broader market and company analysis. The indicators may help organize a candidate list, but the document does not demonstrate predictive effectiveness.

Key ideas

• The proposed screen combines moving-average trend with position-change and large-order flow measures.
• The sample code sketches calculations but does not implement every suggested refinement.
• The post gives no backtest evidence for the screening logic.
• It flags price, volatility, and incomplete market analysis as risks.

Tags

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