Screening Stocks by Turnover, Order Flow, and Price Direction

Summary

The article presents a short-term stock screen combining positive price change, turnover between 3% and 12%, an outside-to-inside trading volume ratio above 1.3, and a positive product of price change and large-order net flow. Its rationale is that liquidity and order-flow measures may help identify stocks where buying interest accompanies price gains. Sample query and Python snippets show how the filters might be applied, with the Python example also restricting eligible stock codes.

The article acknowledges that this simple screen omits company fundamentals, industry conditions, and broader market context, and suggests adding technical and fundamental measures. The code and prose are not fully aligned: the title mentions a ratio above 1, while the detailed rules use 1.3, and the Python example uses strict turnover bounds. No test period, portfolio results, or evidence of predictive power is provided, so the selection logic remains an unvalidated heuristic.

Key ideas

• The screen combines positive price change with turnover between 3% and 12%.
• It requires outside volume to exceed inside volume by a ratio above 1.3 and links price change to large-order net flow.
• The proposed rationale is that rising prices accompanied by buying activity may signal stronger demand.
• The article warns that the rules omit fundamentals, industry factors, and market context.
• The examples differ in some thresholds and provide no performance validation.

Tags

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