Screening Stocks by Turnover, Price Move, Large-Order Flow, and Positive PE

Summary

This stock selection rule filters for names with turnover between 3% and 12%, a positive product of the daily price change and net flow attributed to very large orders, and a positive price-to-earnings ratio. The document explains the intended combination as a measure of trading activity, buying or selling pressure, and a basic valuation condition. It provides reference implementations in a stock screening formula and Python, as well as instructions for applying a selection statement in a strategy template.

The article warns that positive PE alone does not describe company performance or speculative conditions and may mislead during broad market shocks. It suggests considering additional fundamentals, though it does not specify how to combine them or provide backtest results. The screen is a candidate selection rule, not a complete trading strategy: there are no entry timing, exit, sizing, transaction cost, or out-of-sample evaluation rules. The code's flow calculation and the prose condition should also be checked for consistent units and thresholds before use.

Key ideas

• The screen requires turnover between 3% and 12%, a positive price-change and large-order-flow product, and positive PE.
• The document provides formula and Python examples for applying the screen.
• Positive PE is presented as a limited valuation filter that may mislead in stressed markets.
• Additional fundamental measures could broaden the company assessment, but no combination method is given.
• The rule lacks documented trading exits, position sizing, costs, and performance validation.

Tags

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