Stock Screening by Turnover, Listing Year, and Large-Order Flow

Summary

This stock selection rule filters for turnover between 3% and 12%, companies listed in 2021, and large-order net flow above 0.05 for at least three consecutive days. The document defines net flow as large buy value minus large sell value and gives a ratio formula based on net flow, total volume, and traded value. It also sketches a Python workflow using market data to identify candidates and check the recent flow condition.

The article argues that combining turnover, listing age, and order-flow activity may help identify stocks with supportive price-volume behavior. It cautions that the flow threshold may be too restrictive and that indicator-based screening can neglect company fundamentals; it suggests adjusting the threshold using historical data and adding fundamental analysis. No backtest results or performance evidence are reported, and the provided code’s broader filters and data handling should be checked before practical use.

Key ideas

• The screen requires turnover between 3% and 12% and a 2021 listing year.
• It also requires large-order net flow above 0.05 on three or more consecutive days.
• The document expresses net flow as a ratio involving large-order flow, volume, and traded value.
• The author warns that the threshold may be restrictive and may overemphasize technical data.
• No backtest or strategy performance results are provided.

Tags

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