Screen Stocks by Turnover, Order-Flow Ratio, and Listing Age

Summary

The document outlines a stock-selection screen using turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a minimum listing age represented by an unspecified number of years. It frames the filters as a way to combine trading activity, a measure interpreted as buying pressure, and company seasoning. SQL-style and Python examples illustrate how to apply similar conditions to stock data.

The post suggests that the screen may avoid some illiquid or newly listed shares, while acknowledging that it can miss promising young companies and less liquid established firms. It provides no backtest, benchmark, or evidence that the filters improve returns. The listing-age threshold is left unspecified, and the code examples use slightly different boundary conditions for turnover, so implementation details require care. The post also recommends adding fundamental and technical analysis, but does not define those additional rules.

Key ideas

• The screen selects stocks with turnover from 3% to 12% and an outside-to-inside volume ratio above 1.3.
• It excludes stocks that have not been listed for a chosen minimum number of years.
• The post presents turnover, volume, and listing-date fields as inputs to SQL-style and Python implementations.
• The author notes that the filters may exclude young growth companies and established but less liquid stocks.
• No backtest or evidence of improved investment performance is provided.

Tags

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