Screening Stocks by Turnover, Ten-Day Return, and Large-Order Flow
Summary
This stock-selection rule filters for turnover between 3% and 12%, a positive ten-day price gain below 35%, and a high ranking in large-order net volume. The final rule specifies selecting stocks in the top 10% by that ranking. The accompanying explanation treats large-order flow as a way to identify possible market interests, while noting that it is only one input and should be combined with other information. Reference indicator formulas and sample Python are provided, though the example also contains additional filters and implementation choices beyond the headline rule.
The document cautions that large-order data may be delayed or uncertain, which can lead to misjudging a stock or mistaking a short-lived hotspot for a durable opportunity. It suggests combining the flow ranking with valuation or market-size measures, or using predictive models to refine selection. No historical backtest, benchmark comparison, execution assumptions, or return evidence is reported. As a result, the screen is a proposed heuristic rather than a demonstrated strategy, and its data definitions and timing would need careful verification before evaluation.
Key ideas
- The screen combines turnover between 3% and 12% with a positive ten-day gain below 35%.
- It ranks stocks by large-order net volume and retains those in the top 10% of the ranking.
- The document presents order flow as a potentially useful but incomplete signal for spotting active stocks.
- Delayed or uncertain flow data and short-lived market interest are identified as risks.
- Valuation, market-size, or predictive-model inputs are suggested as possible refinements.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.