Stock Screening with Amplitude, Large-Order Flow, and Opening Returns

Summary

This document describes an equity screening rule that combines price range, large-order net volume, and the opening price change. It selects stocks whose amplitude exceeds 1, whose large-order net volume measure stays above 0.05 for at least three consecutive days, and whose change at 9:25 is below 6%. The rationale is that amplitude can help identify active stocks, large-order flow may indicate capital entering a name, and the opening move can filter out stocks already attracting unusually strong attention.

The article offers no performance results or empirical validation. Its accompanying Python example reads stock data and applies filters, but the amplitude condition shown there appears inconsistent with the stated rule, and its rolling-volume calculation does not clearly implement the claimed consecutive-day threshold. The authors acknowledge that these indicators alone cannot fully assess a stock and suggest combining technical and fundamental measures, adapting to market conditions, and validating the approach with longer backtests. Market and policy risks also remain.

Key ideas

• The proposed screen combines amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and a 9:25 price change below 6%.
• The article interprets amplitude as a measure of trading activity and large-order net volume as a possible signal of incoming capital.
• The opening-price condition is intended to avoid stocks with an already excessive short-term rise.
• The document provides no backtest evidence, and its sample code may not faithfully implement the stated conditions.
• It recommends combining indicators, adjusting the screen to market conditions, and validating it over a longer backtest.

Tags

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