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

Summary

This stock-selection proposal combines three filters: daily price amplitude of at least 1%, turnover between 2% and 9%, and a ratio of buying-side to selling-side volume above 1.3. The author presents amplitude and turnover as measures of price activity and trading interest, while the volume ratio is intended to reflect order flow. Example formulas and Python-style logic are included, but the examples do not establish that the screen predicts returns, and some implementation details appear inconsistent with the written thresholds.

The document warns that market conditions and differences between companies can affect outcomes, and that the order-flow ratio may be unreliable depending on how it is calculated. It suggests broadening the analysis with fundamentals, industry context, and other market factors, as well as applying risk and position controls. No backtest, trade examples, or empirical performance data are supplied, so the rules are best understood as a screening concept requiring data validation and evaluation.

Key ideas

• The proposed screen combines price amplitude, turnover, and a buying-to-selling volume ratio.
• It sets thresholds of at least 1% amplitude, turnover between 2% and 9%, and a volume ratio above 1.3.
• The document treats the first two measures as technical activity indicators and the ratio as an order-flow proxy.
• It cautions that the ratio’s reliability depends on its calculation and data quality.
• No performance evidence is given, and example implementation details may not match the written criteria.

Tags

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