Screening Stocks for Range, Prior-Day Price Action, and Large-Order Flow

Summary

The document presents a short-term stock screen that combines daily price range, the prior session's price-limit status, and a positive large-order-flow measure over at least three consecutive days. Its stated selection logic requires amplitude above 1, excludes stocks that closed at the upper limit the previous day, and sets the large-order net measure above 0.05. A Python example loops over listed stocks and applies conditions to recent daily records, including turnover-related and price-position checks.

The rationale is that sustained positive large-order activity may indicate continuing market interest, while range and prior-day price behavior add technical filters. The document warns that the approach ignores company fundamentals and may return few names; it frames the screen as a short-term opportunity filter rather than a long-term investment method. The supplied example's proxy conditions do not clearly map every stated criterion to named data fields, and no backtest or performance evidence is included.

Key ideas

• The stated screen combines amplitude above 1, prior-day non-limit-up status, and positive large-order net flow for at least three days.
• The rationale treats persistent large-order activity as a possible sign of continued market interest.
• The Python example adds recent turnover and price-position conditions when filtering listed stocks.
• The screen omits fundamentals and is described as more suitable for short-term use.
• No backtest is provided, and the example's data-field proxies may not precisely implement every stated condition.

Tags

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