Equity Screening with Volatility and Institutional Flow Filters

Summary

This stock-screening example selects shares using three conditions: a stated price-range threshold, positive institutional fund flow, and a control-ratio threshold. The accompanying examples describe deriving a range measure from daily prices, aggregating fund-flow data over several observations, and combining the resulting boolean filters. The article frames the conditions as a way to consider price activity and investor flows together, but offers no backtest, portfolio construction method, or return evidence.

The discussion cautions that a screen can leave out stocks that are temporarily weak yet potentially valuable, and that the control-ratio cutoff is subjective. It suggests adding valuation measures, dividend yield, volume, turnover, and price changes for broader analysis. The meaning and data construction of the institutional-flow and control-ratio measures are not rigorously defined, and example code may need adaptation to the data source. These filters therefore describe a candidate-selection idea, not a demonstrated strategy or standalone buy signal.

Key ideas

• The screen combines a price-range condition, positive institutional flow, and a control-ratio threshold.
• The example aggregates fund-flow information across observations before applying the filter.
• The chosen control-ratio cutoff is subjective and may exclude temporarily weak stocks.
• Valuation and trading activity measures are suggested as additional screening inputs.
• The document provides no evidence that the screen predicts returns.

Tags

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