Screening Stocks by Turnover, Order Flow, Volume, and Opening Price

Summary

This stock-selection screen filters for shares with turnover between 3% and 12%, an external-to-internal volume ratio above 1.3, current volume above 10,000 lots, and an opening price equal to the day’s high. The accompanying rationale treats turnover, the volume ratio, and current volume as indicators of trading activity, while an open-at-high session is interpreted as a sign of buying interest. The document includes both a database-style expression and a Python example for applying the conditions to grouped stock data.

The screen is a simple set of market-activity filters, not a tested strategy. The text warns that it can omit other attractive stocks and be affected by market fluctuations, and suggests adding fundamental and technical factors. It provides no sample period, performance results, transaction-cost assumptions, or portfolio rules. There is also a discrepancy: the headline says the order-flow ratio exceeds 1, while the described final rule and examples require it to exceed 1.3; those latter conditions define the screen summarized here.

Key ideas

• The screen combines turnover, external-to-internal volume, current volume, and the relationship between the open and high.
• The stated final rule requires turnover from 3% through 12% and an order-flow ratio greater than 1.3.
• The examples provide database and Python implementations of the filter.
• The document offers no backtest or trading performance evidence and notes that the screen may miss stocks or be sensitive to market changes.
• The headline’s ratio threshold differs from the threshold in the rule and code examples.

Tags

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