Screening Stocks by Intraday Inflows, Price Range, and Holder Concentration

Summary

This stock screen combines daily amplitude above 1%, afternoon large-order net inflow, and a concentration measure below 20%. The document describes the range and order-flow conditions as signals of short-term trading demand and sentiment. It provides formula references for the range and inflow filters and suggests using holder data to assess concentration, followed by further selection based on company fundamentals and market conditions.

The article reports no backtest results or evidence that these criteria produce favorable returns. It warns that technical screens can diverge from company fundamentals and macro conditions, leading to unstable returns or drawdowns. It also notes potential single-stock concentration and the possibility of excluding more liquid names. Suggested risk controls include reviewing fundamentals and managing exits, while an alternative concentration threshold is mentioned without supporting test results.

Key ideas

• The screen combines daily amplitude above 1%, afternoon large-order net inflow, and holder concentration below 20%.
• The article frames range and order flow as short-term demand or sentiment indicators.
• It recommends assessing company fundamentals and market conditions after applying the screen.
• No performance evidence is presented, and the proposed thresholds are not validated.
• The author flags drawdown, concentration, and liquidity risks and suggests active risk controls.

Tags

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