Equity Screening by Price Range, Turnover, and Afternoon Large-Order Flows

Summary

This note proposes screening equities for intraday amplitude above 1, prior-day actual turnover between 3% and 28%, and positive net large-order flow during the afternoon. The combined filters aim to find shares showing both price movement and trading activity, with a positive large-order flow signal used as an additional indication of buying interest. The document includes illustrative formula and Python snippets for calculating the conditions.

The examples are not fully consistent in their definitions: the amplitude is calculated as the high-low range divided by the open, while the turnover example compares volume with a prior volume measure, rather than clearly applying actual turnover. The large-order flow calculation is also presented as a simplified proxy. No backtest, return data, or comparison with a benchmark is provided. The article warns that market conditions, individual-stock events, and possible manipulation can affect the signals, and recommends combining the screen with risk controls and other factors such as capital flow or market capitalization. It does not specify portfolio construction, entries, exits, or position sizing.

Key ideas

• The proposed screen combines intraday amplitude, prior-day turnover, and positive afternoon large-order net flow.
• The amplitude threshold is above 1, and the stated turnover interval is 3% to 28%.
• The examples use simplified calculations whose definitions do not fully match the prose conditions.
• The note provides no performance evidence and flags market, stock-specific, and manipulation risks.

Tags

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