Stock Screening with Price Range, Large-Order Flow, and Auction Volume

Summary

This proposed stock screen combines a minimum price range, ranking by large-order net volume, and a bounded measure involving prior turnover and current auction volume relative to the previous session's volume. The document describes the intent as selecting stocks with short-term price and trading-activity signals, and provides sample formula and Python implementations. It notes that anomalous auction or turnover data may distort results and that a short-term focus can overlook longer trends; it suggests adding fundamental and industry information and using robust summaries to reduce outlier effects.

The implementation is internally inconsistent and does not clearly match the stated measure: the sample code constructs a different proxy for auction activity, applies other filters, and includes unexplained fields. The document offers no backtest or performance evidence, so its proposed screen remains an unvalidated example rather than a demonstrated strategy.

Key ideas

• The screen combines price range, large-order net volume, turnover, and auction activity.
• The stated turnover and auction-volume ratio is bounded between two thresholds.
• The sample code uses a different auction-activity proxy and additional filters.
• The document warns about outliers and the risk of focusing only on short-term signals.
• No backtest or performance evidence is provided.

Tags

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