Screening for High Amplitude, Recent Limit-Up Streaks, and Large-Order Flow

Summary

This stock-selection proposal combines a daily price amplitude threshold, a recent three-session limit-up streak, and a ranking based on net large-order volume. Its rationale is that amplitude may identify active names, the streak may reflect strong buying interest, and order-flow data may indicate institutional demand. The refined version adds a top-decile large-order ranking and a moving-average crossover, with sample indicator logic and a Python outline for applying related filters.

The document warns that large-order activity can be ambiguous and may not represent the broader market, while a focus on recent price action can miss longer-term conditions. It suggests adding retail positioning and market or macro context. The examples do not establish that the filters accurately measure the stated concepts: the formula and sample code appear to express some conditions differently from the written three-session streak, and the Python universe uses futures symbols. No backtest results or evidence of returns are given, so this is a screening concept rather than a validated strategy.

Key ideas

• The proposed screen combines price amplitude, a recent limit-up streak, and net large-order volume ranking.
• The refined rules add a high ranking threshold and a short versus longer moving-average crossover.
• Large-order activity may not reliably reveal the intentions or positioning of market participants.
• The written rules and code examples may not implement identical conditions, and the examples use different instrument contexts.
• No backtest or return evidence is provided.

Tags

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