Stock Screening by Price Range, Auction Activity, and Afternoon Large-Order Flow

Summary

This proposed stock screen combines three short-term conditions: price amplitude above one, a top-five ranking by the day’s auction amount, and positive afternoon net inflow from large orders. The accompanying explanation treats amplitude and auction activity as measures of movement and trading interest, while large-order flow is used as an indication of fund movement. The post gives example formula references and a Python outline, but the code has apparent inconsistencies with the stated conditions and is not a validated implementation.

The author warns that the screen omits company fundamentals and longer-term prospects, and depends heavily on technical measures and short-term flows. The suggested refinement is to combine those signals with fundamental analysis and longer-term considerations. No backtest, return data, or evidence of predictive value is supplied, so the screen should be understood as a selection idea rather than a demonstrated profitable strategy.

Key ideas

• The proposed screen combines price amplitude, auction amount ranking, and afternoon large-order net flow.
• The post interprets amplitude and auction activity as indicators of movement and trading activity.
• It cautions that short-term flow signals omit fundamentals and long-term development.
• The example formulas and code are illustrative and contain inconsistencies with the stated conditions.
• The document provides no performance evidence for the proposed screen.

Tags

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