Screening for Recent Gains and Positive Large-Order Flows

Summary

This stock-selection idea seeks shares with a positive but limited 10-day return, positive large-order net volume for at least three consecutive days, and today's position increase share above 5%. It interprets sustained large-order inflows as a sign of buying pressure and the recent gain as evidence of upward price movement. The note includes simplified selection examples, but it reports no historical test, benchmark comparison, or measured returns.

The author warns that a screen based on short-term flows and price gains may select stocks vulnerable to market-wide volatility, flow reversals, or pullbacks after rapid appreciation. Fundamental, industry, and size filters are suggested as possible additions. The written selection logic includes the consecutive large-order condition, but the final example code only checks the position increase and 10-day return, so it does not implement the full stated screen. The flow measures and their data definitions are also left unspecified, limiting reproducibility.

Key ideas

• The intended screen combines positive large-order net volume over consecutive days with a positive, capped 10-day return.
• Today's position increase share is required to exceed 5% in the stated logic.
• The final example omits the consecutive large-order condition, so it does not fully match the described method.
• The note gives no backtest and warns of flow reversals and short-term pullbacks.

Tags

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