Screening Stocks for Wide Ranges, Positive Large-Order Flow, and Recent Limit-List Activity
Summary
The proposed stock screen combines a daily price-range condition, positive large-order net volume for at least three consecutive days, and appearance on the prior day's trading disclosure list. The document treats the disclosure-list condition as a way to focus on stocks receiving unusual market attention, while persistent positive large-order flow is intended to indicate buying interest. It includes an indicator formula reference and a Python sketch, but the code's range filtering does not clearly implement the stated amplitude threshold, limiting reproducibility.
No backtest or measured results are provided. The author warns that disclosure-list activity can be affected by short-term institutional behavior and may produce false signals. Broader market, sector, and fundamental factors are suggested as additional inputs. The screen is therefore best understood as a rule concept rather than evidence of a reliable strategy, and its data definitions and implementation require careful checking before evaluation.
Key ideas
- The screen combines a daily amplitude threshold with positive large-order net volume over three days or more.\nIt also requires appearance on the previous day's trading disclosure list.\nThe Python example may not faithfully implement the stated amplitude condition.\nDisclosure-list activity can be misleading, and the document provides no performance evaluation.\nMarket trend, sector context, and fundamentals are proposed as additional filters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.