Screening Stocks by Intraday Volatility and Order-Flow Signals

Summary

This proposed stock selection method combines a minimum daily price range with two short-term flow conditions: large-order net inflow in the afternoon and positive net buying by major participants during the opening auction. It then selects the candidate with the strongest price gain. The document describes the range condition as a volatility filter and treats the flow measures as indicators of market activity and sentiment. It includes formula examples and a sketch of a data-driven screening workflow.

The article cautions that the screen emphasizes short-term movement and capital flows while omitting company fundamentals and longer-term prospects. Selecting the strongest gainer can also expose the strategy to sharp reversals. No backtest results or evidence of predictive value are presented, and the code sketch has unclear or inconsistent data and scoring logic. The method is therefore a candidate-generation idea rather than a demonstrated trading system; it supplies no clear entry execution, exit, or position-sizing rules.

Key ideas

• The screen requires a daily price range above its stated threshold.
• It uses afternoon large-order flows and opening-auction net buying as short-term signals.
• Among qualifying stocks, it favors the strongest price gain.
• The method may be vulnerable to reversals because it prioritizes short-term movement and flow.
• The document provides no performance validation or complete trade-management rules.

Tags

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