Screening Stocks by Volatility, Recent Leaderboard Presence, and Top-Level Order Flow

Summary

This short-term stock screen selects shares with an amplitude above 1 that appeared on the previous day’s trading leaderboard and whose first-level buy volume exceeds first-level sell volume. The document presents the combination as a way to identify stocks showing both elevated price movement and notable trading activity. It includes example logic for calculating amplitude from high, low, and closing prices, checking leaderboard data, and intersecting the resulting candidate lists.

The rationale is that higher amplitude may create short-term opportunities and the leaderboard and order-volume conditions may signal unusual capital activity. However, the page provides no backtest, outcome data, or evidence that these signals improve returns. It notes that broader market or industry moves can affect results and that comparing only top-level buy and sell volume ignores other relevant factors. It recommends adding macroeconomic and industry context, but does not define those additional filters or specify execution, holding period, or risk controls.

Key ideas

• The screen combines amplitude above 1 with prior-day leaderboard presence and greater first-level buy than sell volume.
• The examples calculate amplitude using the prior price range relative to the close.
• The document gives a selection rationale but no performance test or return evidence.
• Market and industry conditions can affect results, and the order-volume comparison is incomplete on its own.
• Additional context is recommended, but no holding period or execution rules are specified.

Tags

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