Screening Stocks by Turnover, Large-Order Flow, and Moving-Average Alignment

Summary

This stock screen selects shares with turnover between 3% and 12%, a positive product of daily price change and net large-order flow, and a bullish alignment among three moving averages. The accompanying example uses the 5-, 10-, and 20-day averages, requiring the shortest average to be above the middle one and the middle one above the longest. The article presents this as a way to combine trading activity, order-flow direction, and a short-term trend filter. It notes that the specific indicators and crossover definitions can be changed.

The article cautions that technical signals can misread market direction and that the screen omits fundamentals, so weak businesses may still be selected. It recommends choosing indicators carefully and considering fundamental filters. No backtest or performance evidence is provided. The stated general rule refers to simultaneous golden crosses, while the sample code checks moving-average ordering rather than explicit crossover events, leaving an implementation ambiguity.

Key ideas

• The screen filters for turnover within a specified range and a positive product of daily return and net large-order flow.
• The sample trend condition requires the 5-day average above the 10-day average and the 10-day above the 20-day average.
• The article describes multiple indicators crossing upward, but its sample code checks average ordering rather than explicit crossover events.
• Technical signals may mislead, and the screen does not include fundamental filters.
• No backtest or performance results are supplied.

Tags

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