Stock Screening with Intraday Large-Order Flows and Price Range

Summary

This post outlines an equity screen combining daily price amplitude, ranking by large-order net volume, and net large-order inflows during the afternoon. It presents the afternoon flow signal as a way to capture short-term stock moves, with sample screening conditions and code references. The discussion gives no backtest results or evidence that the signals predict returns.

The author flags that the screen relies on technical and flow-related measures and may omit company fundamentals and longer-term trends. Afternoon large-order activity is described as uncertain, and thresholds may select unstable stocks. Suggested refinements include adding valuation, market capitalization, industry prospects, share capital, macro conditions, and market themes. The page’s descriptions and code examples do not fully align, so the exact operational screen is unclear and would require validation before use.

Key ideas

• The proposed screen combines price amplitude, large-order net-volume ranking, and afternoon large-order inflows.
• The post frames afternoon order flow as a potential short-term selection signal but provides no performance evidence.
• The author identifies missing company fundamentals and longer-term trend information as risks.
• The sample code and narrative appear to describe differing conditions, making the screen ambiguous.

Tags

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