Momentum Stock Ranking by Recent Returns, Investor Attention, and Fund Flows

Summary

This note describes ranking stocks by capital-flow strength and individual-stock popularity, alongside a recent-return filter requiring a 10-day gain above zero and below 35%. It interprets stronger flows and higher attention as signs of market interest, while the return band selects stocks that have risen without crossing the stated upper bound. The later section expands this idea with suggested filters for market capitalization, industry, and bullish MACD and KDJ signals, but it does not clearly reconcile these additions with the original screen.

The document gives no backtest, measured outcomes, or complete implementation; its Python reference is only a fragment. It acknowledges that flow and popularity rankings can be distorted by short-term market conditions and that recent returns are volatile. The proposed extra filters are recommendations, not demonstrated improvements. The note therefore serves as a rough screening concept rather than a fully specified trading strategy, with no rules for entry timing, exits, portfolio sizing, or execution.

Key ideas

• The initial screen ranks stocks by capital-flow strength and popularity while filtering for a positive 10-day gain below 35%.
• The note later suggests market-cap, industry, MACD, and KDJ filters without fully specifying their integration.
• Flow, popularity, and recent returns can be noisy or affected by short-term conditions.
• The code is incomplete, and the document provides no backtest or trading rules.

Tags

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