Stock Screening with Intraday Range, Trading Volume, and Large-Order Flow

Summary

This post proposes screening stocks for market activity and buying pressure. Its stated conditions are an amplitude above 1, current volume above 10,000 lots, a higher opening price, and large-order net volume above 0.05 for at least three consecutive days. The rationale is that wide movement and high trading volume signal activity, while a positive large-order measure suggests persistent buying. A Python example is included, though its actual filters use several additional price, volume, and trend conditions that do not directly match every stated rule.

The document offers no backtest results or performance evidence. It warns that large-order flows can change abruptly and that the screen omits company fundamentals and other indicators. It suggests combining technical and fundamental data and weighing broader market and industry conditions, but does not specify how to combine those inputs or manage positions.

Key ideas

• The stated screen combines price amplitude, current volume, a higher open, and persistent positive large-order net volume.
• The proposed rationale treats activity and sustained buying as selection signals.
• The Python example applies additional price, volume, and trend filters beyond the stated conditions.
• No backtest or measured strategy performance is provided.
• The author identifies sudden changes in money flow and missing fundamental analysis as limitations.

Tags

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