Stock Screening by Turnover, Large-Order Flow, and Recent Returns

Summary

This stock screen combines trading activity, order flow, and price performance. It selects shares with turnover between 3% and 12%, a positive product of the day’s price change and the net amount attributed to very large orders, and positive recent returns. The article also provides formula and Python examples; the latter adds filters such as market capitalization and a comparison of the latest close with an earlier close, then ranks candidates by a turnover and volume based weight.

The write-up frames the conditions as a way to identify active stocks with supportive flows and positive performance, but supplies no backtest or measured results. It warns that favoring activity and short-term gains can overlook fundamentals and longer-term value. The examples do not fully align in their thresholds and implementation details, so the intended return window and calculation conventions would need to be clarified before evaluation.

Key ideas

• The main screen requires turnover between 3% and 12%.
• It uses the sign of price change multiplied by large-order net flow as a filter.
• It also requires positive recent returns, though the time window is not clearly defined.
• The Python example adds extra conditions and ranks candidates, but these are not all part of the stated core rule.

Tags

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