Screening for Volatility, Moderate Ten-Day Gains, and Strong Order Flow

Summary

This note describes an equity screen that combines daily amplitude above 1, a ten-session price gain greater than zero but below 35%, and a high ranking on a large-order net-volume measure. The rationale is to find stocks with meaningful price movement and positive but not extreme recent gains, while using the order-flow measure as an indication of trading activity. Formula and Python examples show how to apply the filters and rank candidates.

The note cautions that large-order net volume does not fully represent capital flows and can reflect sentiment or institutional activity. Amplitude and recent gains also do not ensure future returns. It suggests combining the screen with other filters, such as market capitalization, industry, technical measures, fundamentals, and broader market conditions. The examples include implementation choices, but no backtest, sample description, or performance results are supplied; the screen is therefore an idea for further evaluation rather than a demonstrated strategy.

Key ideas

• The screen requires amplitude above 1 and a positive ten-session gain below 35%.
• It ranks stocks using a large-order net-volume measure as a proxy for trading activity.
• The note says this measure may not capture actual capital flows and may reflect market behavior.
• It recommends combining the conditions with broader technical, fundamental, and market context.
• No historical performance evidence is provided.

Tags

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