Screening Stocks for Range, Recent Gains, and Afternoon Large-Order Inflows

Summary

This post outlines a stock-selection idea combining a volatility condition, recent strong performance, and an afternoon order-flow measure. It seeks stocks with a daily high-low range exceeding one, at least one daily gain of 10% or more over the past 25 trading days, and net afternoon inflows attributed to large orders. The intended rationale is to find active stocks that have shown strength and appear to attract substantial buying.

The post sketches indicator and Python implementations, then proposes adding fundamental and valuation filters. It does not provide a tested definition of the afternoon large-order flow condition, a complete specification for the range threshold, or any backtest or performance evidence. It explicitly notes risks from omitting company quality and valuation, and from a potentially imprecise large-order measure. Its suggested improvements include screening financial health and valuation and periodically revisiting the rules. As presented, this is a candidate-generation concept rather than a demonstrated strategy.

Key ideas

• The screen combines a high-low range threshold, a recent large daily gain, and afternoon net large-order inflow.
• Its rationale is to identify active stocks with evidence of recent price strength and buying interest.
• The post suggests adding financial quality and valuation conditions to reduce risks from the initial screen.
• The order-flow measure and parts of the rule are underspecified, and no performance testing is reported.
• The author recommends adjusting the screen as market conditions change.

Tags

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