Combining Turnover, a Low K Reading, and Large-Order Net Volume

Summary

This stock-selection proposal filters for turnover between 3% and 12%, a K reading below 20, and a positive product of price change and net large-order volume above a stated threshold. The document frames turnover and the K reading as technical filters, with the price-change and large-order measure intended to capture trading activity and money flow. It also suggests separating the price-change and volume conditions and incorporating company fundamentals to reduce noise.

The document supplies formula and Python examples, but no backtest, sample trades, or performance evidence. Its discussion does not define the K indicator's calculation or fully clarify the units and construction of the large-order net-volume measure, making the threshold difficult to interpret across data sources. The code example also has implementation gaps, including a volume calculation focused on the final loop variable rather than clearly processing each candidate stock. Market noise and omitted fundamentals remain material limitations. The screen should be treated as a hypothesis requiring data validation and testing.

Key ideas

• The proposed screen uses turnover between 3% and 12%, a K reading below 20, and a price-change times large-order net-volume condition.
• The document presents these filters as a way to combine technical state with market activity.
• It recommends evaluating price change and volume separately and considering fundamental information.
• The indicator definitions and volume units are unclear, and the code example does not clearly process every candidate stock.
• No performance evidence is given, so the screen's predictive value remains unestablished.

Tags

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