Screening Stocks by Intraday Range, Large-Order Flow, and Trading Activity

Summary

This post outlines a short-term stock-selection idea based on price range and large-order net flow, with reference to the 2021 market environment. Its explanation treats intraday amplitude and large-order activity as signs of market activity and sentiment. The accompanying formula sketch uses a prior-close range threshold and a positive trading-amount condition, while the Python example adds a turnover threshold and checks that a date falls in 2021. These implementations do not fully align, and the post does not define a reproducible ranking rule for large-order net flow.

The author describes the approach as primarily technical and notes that it omits long-term business prospects and fundamental conditions. The 2021 market regime may also limit how well the idea generalizes. The post recommends adding other technical or fundamental variables and testing the rules across historical data. It gives no strategy returns or completed backtest, so it offers a rough screening concept rather than evidence of an effective trading strategy.

Key ideas

• The proposed screen combines price amplitude and large-order net flow as measures of activity and sentiment.
• The post relates the idea to 2021 market conditions and presents it for short-term use.
• Its formula sketch and Python example specify different conditions, leaving the screening rule ambiguous.
• The author recommends broader indicators and historical testing, but provides no performance evidence.

Tags

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