Screening Stocks by Ten-Day Gains, Institutional Trades, and Volume Ratio
Summary
This stock screen combines three selection rules: rank by volume ratio and retain the top 100, require an institutional trading seat to appear in exchange disclosure data, and select stocks whose ten-day gain is positive but below 35%. The stated rationale is to find active stocks with institutional buying while avoiding names that have already risen too sharply over that period.
The article cautions that volume ratio reflects trading activity but not outflows, institutional buying does not guarantee near-term gains, and the return band can exclude stocks that have risen more. It suggests considering both inflows and outflows, assessing the longer-term merits of stocks associated with institutional trades, and adding other indicators. The final rule text is truncated before the complete return condition is restated, and the document offers no backtest statistics or evidence that the combined filters predict returns. It is best read as a screening recipe with acknowledged limitations.
Key ideas
- The screen ranks stocks by volume ratio and keeps the top 100.
- It requires institutional-seat activity in exchange disclosure data.
- Candidates must have positive ten-day gains below 35%.
- Volume ratio does not account for outflows, and institutional buying can be followed by a decline.
- The article provides no performance results, and its final rule description is incomplete.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.