Screening Stocks by Intraday Range, Recent Limit-Up Moves, and Large-Order Flow

Summary

This proposed equity screen combines a price-range condition, a recent sharp gain, and a ranking based on large-order net volume. Its stated final logic looks for an amplitude above 1, at least one daily gain of 10% or more during the previous 25 trading days, and a large-order net-volume rank in the top fifth. The article also suggests adding financial-quality, turnover, liquidity, and industry filters.

The document offers illustrative indicator formulas, but no backtest or realized performance evidence. It cautions that real-time large-order data can be noisy, price moves and flow rankings cannot reliably predict future returns, and high-turnover or limit-up stocks may be speculative. It also notes the risk of omitting fundamental quality. Its proposed safeguards are additional financial measures, liquidity and turnover limits, and adapting the filter to market conditions.

Key ideas

• The screen combines price amplitude, a large daily gain within a 25-trading-day lookback, and a large-order net-volume ranking.
• The final outline specifies a top-20% rank for the large-order measure.
• The article proposes financial, turnover, liquidity, and industry filters as possible refinements.
• No performance testing is reported, and real-time flow measures may be noisy or misleading.

Tags

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