Stock Screening After Three Down Days Using Turnover and Large-Order Flow

Summary

This proposed equity screen looks for stocks with turnover between 3% and 12%, three consecutive declining sessions, and a high product of price change and very large order net volume. The article frames the setup as a possible rebound candidate: the turnover band is intended to avoid extremely speculative names, while the order-flow measure is meant to distinguish stocks attracting large-trader activity during a short decline. It includes a sample implementation outline using daily market data and checks turnover and three-session price direction.

The example is not a complete or clearly faithful implementation of the stated rule: it uses a fixed historical date, and its volume-based calculation is not clearly equivalent to very large order net volume. No backtest, transaction-cost analysis, or evidence of rebound performance is provided. The article itself notes that the screen relies heavily on price action, omits company fundamentals, and may not transfer across stock types; it suggests adding fundamental measures and adapting criteria by stock category.

Key ideas

• The screen combines a 3%–12% turnover band with three consecutive declining sessions.
• It ranks qualifying stocks using price change multiplied by a measure intended to represent very large order flow.
• The proposed rebound rationale is not supported with reported backtest evidence.
• The sample code may not reproduce the stated large-order net-flow condition.

Tags

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