Screening Stocks for Large Price Moves and Persistent Big-Order Inflows

Summary

This proposed stock screen combines price volatility, a recent large daily gain, and large-order net inflows. It calls for an amplitude above 1, at least one daily gain of 10% or more within the past 25 trading days, and big-order net quantity above 0.05 for at least three consecutive days. The article also suggests adding fundamental valuation, liquidity, and institutional data when refining the screen.

The rationale is to combine price behavior with a measure of capital flow, but the document provides no backtest or measured results. It cautions that large-order flow may not reliably represent institutional activity, short-term signals may miss longer-term drivers, and a small set of technical conditions can leave gaps. The example code contains placeholders for several conditions and does not fully specify the flow measure or the proposed fundamental and liquidity filters, so implementation details remain unresolved.

Key ideas

• The screen combines an amplitude threshold, a large daily gain within a recent trading window, and several consecutive days of positive big-order net flow.
• The article proposes adding valuation, liquidity, and institutional data to improve the selection process.
• It warns that big-order flow may not reliably reveal large investors’ behavior.
• Short-term price and flow signals may not capture longer-term influences on stock performance.
• The example code leaves important conditions as placeholders, and no backtest results are reported.

Tags

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