Screening Stocks by Volatility, Prior-Day Leaderboard Activity, and Order Flow

Summary

This stock-screening idea combines three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading activity leaderboard, and a buy-side versus sell-side activity ratio above 1.3. The document offers example indicator and Python implementations for combining the filters and sorting qualifying stocks. It interprets larger amplitude as evidence of short-term movement, leaderboard appearance as a possible sign of unusual capital activity, and a stronger buy-side measure as a possible indication of bullish interest.

The screen is presented as a way to identify short-term candidates, not as a tested trading system. It gives no performance statistics, holding rule, transaction-cost assumptions, or validation period. The discussion flags broad market reversals and company-specific financial or business risks, and notes that the approach may overemphasize short-term speculation. It suggests adding fundamental measures and company analysis, but does not specify how to combine those inputs or test whether they improve results.

Key ideas

• Require price amplitude above 1%, prior-day leaderboard presence, and a buy-to-sell activity ratio above 1.3.
• The proposed filters aim to capture volatile stocks with unusual trading activity and possible buying pressure.
• The document supplies example screening logic but no holding period, backtest, or measured strategy performance.
• Market reversals and neglected company fundamentals are stated risks of relying on these short-term signals.

Tags

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