Stock Screening with Amplitude, Large-Order Flows, and Turnover

Summary

This proposed stock screen selects shares with amplitude above 1, positive large-order net volume for at least three consecutive days, and turnover between 2% and 9%. The explanation presents amplitude as a measure of price movement, large-order net volume as a possible signal of incoming capital, and turnover as a way to constrain trading activity to a chosen range.

The article notes that a few indicators cannot provide a complete assessment and that such rules may be subjective and time-dependent. It suggests adding other technical and fundamental measures, then using long-term backtesting to evaluate the selection logic. A Python example accompanies the description, but its amplitude calculation and filtering conditions appear questionable relative to the stated rule, and the rolling net-volume calculation may not establish the described consecutive-day condition. No empirical results are given, so the screen should be treated as an unvalidated starting point.

Key ideas

• The screen combines amplitude, sustained positive large-order net volume, and a bounded turnover rate.
• The post interprets large-order net volume as a possible indication of capital inflows.
• The author cautions that a small set of indicators cannot fully assess a stock.
• The code example may not faithfully implement the stated amplitude and consecutive-day requirements.
• The article gives no backtest results or evidence of predictive performance.

Tags

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