Stock Screening by Turnover, Price Change, and Large-Order Flow

Summary

This short-term stock screen combines a turnover-rate band of 3% to 12% with a condition requiring the product of the day’s price change and net volume attributed to very large orders to be positive. It also constrains the daily price change to a range from a 5% decline to a 2.6% rise. The post presents these filters as a way to find a more suitable entry point while limiting exposure to sharp daily moves.

Its sample formulas and Python example add further filters, including auction price change, trading volume, market capitalization, and a subset of stock codes. The examples are not fully consistent: some thresholds and units appear to differ between the prose, formula, and code. No backtest or outcome data are reported. The author notes that the screen omits fundamentals and longer-term performance, and suggests adding company and market context before treating its selections as investments.

Key ideas

• The main screen bounds daily turnover between 3% and 12%.
• It requires daily price change multiplied by large-order net flow to be positive.
• The daily price change must fall between a 5% loss and a 2.6% gain.
• Additional sample filters cover auction movement, volume, market capitalization, and stock codes.
• The post provides no performance evidence and cautions that the screen omits fundamental and longer-term factors.

Tags

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