Selecting Stocks with Turnover, Order Flow, and Recent Attention

Summary

The document describes a stock screen requiring turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and inclusion on the prior day’s Dragon and Tiger List, a record of stocks attracting notable market attention. The turnover range is intended to reflect trading activity, while the volume ratio and listing condition act as signals of demand and recent investor focus. A brief Python example outlines applying these conditions to grouped market data.

The article notes that this screen can miss strong stocks that do not appear on the list and can include listed stocks that subsequently perform poorly. It suggests combining the criteria with other indicators, such as RSI or moving averages, and adapting selection to the trader’s approach. No empirical results or backtest are given, so the described signals should be treated as screening inputs rather than demonstrated predictors. The example assumes access to correctly aligned turnover, volume, and listing data, but does not explain data quality or execution considerations.

Key ideas

• The screen combines a 3% to 12% turnover band, an external-to-internal volume ratio above 1.3, and prior-day list inclusion.
• Turnover is used as a measure of activity, while the volume ratio is treated as a demand signal.
• The attention list can omit promising stocks and include stocks with weak subsequent performance.
• The article proposes adding price indicators but presents no backtest or measured trading results.

Tags

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