Stock Screening by Intraday Range, Afternoon Fund Flows, and Turnover

Summary

This document outlines a stock selection rule based on three daily market signals: an intraday high-low range above one percent of the previous close, a proxy for afternoon large-order net inflow, and turnover between two and nine percent. The screen is intended to combine price variability, apparent capital flow, and trading activity. It includes illustrative indicator formulas and a Python example for applying the criteria to stock data.

No backtest, sample analysis, or performance results are provided. The stated flow condition is represented through a price and volume expression, so it should not be assumed to measure actual order-level flows without validating the data definition. The document notes that the selected stocks could be affected by manipulation or negative news and that changing market conditions may weaken the rule. It suggests adding valuation and return measures, adapting criteria to market and business conditions, and reviewing candidates across fundamental, technical, and policy factors while managing risk.

Key ideas

• The screen combines a daily range threshold, an afternoon large-order flow proxy, and a bounded turnover filter.
• The criteria represent volatility, suspected capital inflow, and trading activity.
• The document includes example formulas and a code sketch but no tested performance evidence.
• The flow proxy and data implementation need validation before being treated as order-flow measurements.
• Market shifts, manipulation, and adverse news can affect the screen’s results.

Tags

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