Short-Term Stock Screening by Price Range, Large-Order Flow, and Turnover

Summary

This short-term equity screen combines three conditions: intraday price amplitude above 1%, a large-order net-volume ranking threshold of at least 0.8, and turnover between 3% and 12%. It also describes sorting qualifying stocks by transaction value. The stated rationale is to seek active stocks with meaningful price movement and liquidity that may support short-term trading.

The document supplies formula and Python examples, but no backtest results or evidence of profitability. It notes that high amplitude can bring greater risk, turnover may contribute to trading costs, and the screen leaves out company fundamentals and industry conditions. Suggested refinements include reviewing financial measures such as earnings and operating cash flow, adding technical measures, and applying explicit stop-loss and take-profit rules. The code is presented as a reference requiring practical adjustment.

Key ideas

• The screen requires price amplitude above 1% and a large-order net-volume measure of at least 0.8.
• It selects stocks with turnover from 3% to 12% and suggests ranking them by transaction value.
• The approach is framed for short-term trading and does not provide performance evidence.
• The document flags volatility, transaction costs, and missing fundamental analysis as risks.

Tags

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