Screening Stocks by Range, Ten-Day Return, and Large-Order Flow

Summary

This stock screen selects shares with daily range above one percent, a positive ten-day return below thirty-five percent, and ranks candidates by the product of daily price change and net volume from very large orders. The document frames the range filter as a way to find active stocks and the return band as a way to avoid both losing stocks and those already up sharply. The large-order measure is presented as an indicator of capital flows. A Python example applies the range and return filters, calculates the product, and sorts the results in descending order.

The article offers a screening concept rather than a complete trading system: it does not define entry, exit, or position-sizing rules, and it reports no backtest or performance results. Its formula reference is listed as pending, while the code’s range calculation uses the opening price as its denominator. The author cautions that the screen omits other technical and fundamental information and that large-order activity can be misleading or manipulated. Additional indicators are suggested but not evaluated.

Key ideas

• The screen requires a daily high-low range above one percent and a positive ten-day return below thirty-five percent.
• Candidates are ranked using daily price change multiplied by net volume from very large orders.
• The example code calculates the range relative to the opening price and sorts the product from highest to lowest.
• The document does not specify trade execution, exits, position sizing, or tested performance.
• It warns that order-flow measures may mislead and suggests considering broader market and company information.

Tags

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