Stock Screening with Amplitude, Turnover, and Persistent Large-Trade Flow

Summary

This proposed stock screen combines three conditions: price amplitude above a threshold, previous-day turnover within a specified range, and positive net large-trade volume for at least three consecutive days. The factors are intended to represent short-term price movement, trading activity, and the direction of larger transactions. The document includes example formula and Python-style pseudocode, but provides no backtest, performance statistics, or evidence that the screen identifies profitable opportunities.

The author notes that large-trade flow can be noisy and that the setup may involve substantial volatility and operational risk. Fundamental and industry information, along with flexible risk controls, are suggested as additional checks. The sample snippets leave important implementation details unclear, including how turnover is calculated and how the large-trade measure maps to the stated persistence condition. Those details would need to be resolved before reliable testing or use.

Key ideas

• The screen combines amplitude, a bounded previous-day turnover rate, and positive large-trade net volume.
• The large-trade condition is intended to persist for at least three days.
• The document supplies illustrative formulas and code but no measured strategy results.
• Large-trade flow may contain noise, and the screen may expose traders to volatile moves.
• Fundamental and industry data and explicit risk controls are proposed as refinements.

Tags

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