Screening Stocks by Price Range, Turnover, Large Orders, and RSI

Summary

This stock screen combines intraday price range, recent turnover, large-order activity, and relative strength. It first selects stocks with an amplitude measure above 1 and previous-day actual turnover from 3% to 28%, then ranks large-order net activity and RSI, retaining higher-ranked names. The document provides formula and Python examples for calculating these filters, though the examples vary in how they define turnover and describe the final ranking criteria.

The rationale is to find active stocks with price movement and signs of substantial trading flows, then use RSI as an additional momentum filter. The article does not provide a backtest, performance statistics, or evidence that the rankings predict future returns. It warns that large-order net activity is an incomplete view of flows and that the screen excludes company fundamentals. It proposes adding financial and valuation measures and using multiple flow indicators to broaden the assessment.

Key ideas

• The screen uses price amplitude and prior-day turnover to focus on actively traded stocks.\nIt ranks large-order net activity as a proxy for trading flows.\nA high RSI rank is included as an additional strength filter.\nThe document provides sample formulas but no performance evaluation and notes that fundamentals are omitted.

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