Screening Stocks with Turnover, Order Flow, and Rising DEA

Summary

The document proposes an equity screen requiring turnover between 3% and 12%, a positive product of the day's price change and net large-order flow, and a rising DEA indicator. It frames the turnover band as a participation filter, the signed price-flow product as a directional condition, and the DEA rise as a technical trend confirmation. Formula and Python examples illustrate how the conditions might be applied to recent stock data.

The author cautions that technical signals alone can omit company fundamentals and macroeconomic conditions, and suggests combining them with other indicators and financial or industry information. The examples are not fully consistent: the written rule specifies the turnover band, while the displayed formula does not clearly implement that band, and the code uses differing scaling conventions for order flow. No backtest evidence or performance results are supplied, so the screen's effectiveness is unverified.

Key ideas

• The screen combines a turnover range of 3% to 12% with price movement and net large-order flow.
• The price-change and order-flow product must be positive.
• A rising DEA indicator serves as an additional technical confirmation.
• Fundamental and macroeconomic inputs may be needed to address the limits of a technical-only screen.
• The examples contain implementation differences and provide no evidence of strategy performance.

Tags

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