Equity Screening with Volatility, Institutional Flows, Volume, and Gap-Ups

Summary

This document proposes screening stocks for a daily price range above a threshold, positive institutional flow, current volume above a threshold, and a gap up at the open. It frames range as a measure of movement, institutional flow as a sign of investor interest, volume as a gauge of activity, and a higher open as a possible signal of positive market sentiment. Sample indicator logic aggregates fund flows over several days and sorts qualifying stocks by turnover.

The article provides no backtest or performance evidence and notes that short-term signals can be affected by speculative activity. It also points out that the screen omits company fundamentals and longer-term prospects. It recommends adding balance-sheet and profitability measures, forecasts, risk controls, and diversification. The examples are illustrative and include data-source and calculation choices that would need validation before use; the screen should be treated as a candidate filter rather than proof of an edge.

Key ideas

• The proposed screen combines a minimum price range, positive institutional flow, high current volume, and a gap-up open.
• The sample logic aggregates institutional flow over several days and ranks candidates by turnover.
• The document associates these conditions with activity and short-term market interest.
• It warns that volume spikes may reflect temporary speculation and that fundamentals are omitted.
• It suggests adding fundamental filters, risk controls, and diversification.

Tags

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