Stock Screening with Intraday Range, Turnover, and Large-Order Flow

Summary

This stock screen combines price range, turnover, and large-order net flow. It selects shares with an amplitude above 1, turnover between 2% and 9%, and large-order net flow above 0.05 over three consecutive days. The rationale is that range and turnover describe trading activity, while sustained positive large-order flow may indicate buying by larger market participants. The article also gives formula and Python examples intended to implement similar filters.

The screen is a candidate-generation rule, not a complete trading strategy: it specifies no entry timing, exit rules, position sizing, or portfolio construction. The article notes that range and turnover do not fully reveal investor behavior, and that large-order flow can be misread. It also cautions that the filter omits broader market conditions and company fundamentals. The implementation examples should be treated carefully because the written conditions and code are not fully aligned in every detail, and no backtest results or performance evidence are supplied. The author suggests adding fundamental or technical filters and risk controls.

Key ideas

• The screen requires amplitude above 1 and turnover between 2% and 9%.
• It seeks sustained buying pressure by requiring positive large-order net flow over three days.
• The rationale treats range and turnover as activity measures and large-order flow as a buying-pressure proxy.
• The article warns that flow data can mislead and that the screen omits fundamentals and market conditions.
• The examples provide implementation ideas but no performance evidence, and their conditions may differ in detail.

Tags

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