Stock Screening with Persistent ROE and Large-Order Flow

Summary

This stock selection proposal combines three filters: daily price range, five consecutive years of return on equity above 15%, and large-order net volume above 0.05 for at least three days. It then suggests smoothing that flow measure and requiring its five-day average to remain above the same threshold. The rationale is that persistent large-order buying may indicate institutional attention, while sustained profitability screens for financially stronger companies.

The document provides example indicator and Python logic, but no backtest, returns, or comparison with a benchmark. It also warns that large-order data can be noisy, other technical or fundamental factors are omitted, and inadequate validation can produce overfitting. The examples contain apparent ambiguities in how range and rolling flow conditions are computed, so the thresholds and implementation would need to be checked against the intended data definitions before research use.

Key ideas

• The screen seeks stocks with a price range above one, five years of ROE above 15%, and persistent positive large-order net volume.
• A proposed refinement smooths the large-order flow and requires its average to exceed 0.05.
• The stated rationale is to combine profitability with a possible signal of large-investor attention.
• The document presents example logic but provides no performance test or benchmark comparison.
• Large-order flow may be noisy, and the selection process may overfit without stronger validation.

Tags

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