Screening Stocks by Trading Range and Order Flow Imbalance

Summary

This article presents a short-term stock screen using three conditions: daily high-low range relative to the previous close above a threshold, a stock code beginning with 60, and external traded volume greater than internal traded volume by a specified ratio. It interprets the range condition as selecting more volatile shares and the volume ratio as a possible sign of buying interest. The post includes example implementations in indicator-formula and Python styles.

The article cautions that these filters do not fully represent a company’s value or risk. A focus on short-term order flow can distract from fundamentals and industry conditions, while market changes may weaken the screen. It suggests combining the conditions with additional technical and financial measures or a multi-factor model. No backtest results, execution rules, or evidence that the volume imbalance predicts returns are supplied. The screen is therefore a basic candidate-selection rule, and the stated buying-interest interpretation should be treated as a hypothesis for further testing.

Key ideas

• The screen combines a high-low range threshold, a stock-code prefix, and an external-to-internal volume ratio threshold.
• The range filter is intended to identify shares with greater price movement.
• The volume ratio is interpreted as a potential indication of buying interest.
• The article warns that short-term flow and a few indicators do not capture fundamentals or all risks.
• It recommends adding broader factors but provides no performance test or trading rules.

Tags

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