Stock Screening by Turnover, Order Flow, and a Weekly Moving Average Crossover

Summary

This stock-selection rule combines a turnover rate between 3% and 12%, an external-to-internal volume ratio above 1.3, and a bullish crossover of the 5-period moving average above the 10-period moving average. The post describes the crossover as occurring on a weekly basis, using the previous period’s averages to establish that the shorter average was below the longer one before crossing above it. It includes formula and Python examples for applying the filters to stock data.

The author frames turnover and the volume ratio as liquidity and buying-pressure signals, paired with a technical trend condition. No backtest, portfolio results, or validation of the signal interpretation is supplied. The post notes that the screen may miss fundamentally strong stocks without the specified price pattern and may include stocks whose longer-term prospects are weak. Its suggested improvement is to add company and industry analysis. The data definitions and weekly sampling should be verified, since the examples do not clearly establish consistent timing across all conditions.

Key ideas

• The screen limits turnover to the stated range and requires external volume to exceed internal volume by the specified ratio.
• A bullish 5-period versus 10-period moving average crossover is used as a trend filter.
• The post presents the selection rule as a way to combine trading activity and price direction.
• It warns that the filter can exclude strong companies and include stocks with weak long-term prospects.
• No performance evidence is provided, and the timing and data definitions warrant verification.

Tags

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