Stock Screening with Price Range, Large-Order Flow, and Trade Imbalance
Summary
This document describes a short- to medium-term stock screen combining a daily price-range condition, a large-order net-volume ranking, and a ratio of buyer-initiated to seller-initiated volume above 1.3. Candidates are sorted by market capitalization in descending order. The rationale is to combine a price-activity measure with indicators intended to reflect large-investor positioning and trading pressure.
The article supplies example formulas and sample selection logic, but it does not present backtest results or evidence that the signals predict returns. It warns that order-flow measures and market sentiment can be unstable, that the trade-volume ratio may be manipulated, and that selections could suffer large drawdowns in weak markets. It recommends incorporating additional technical, industry, valuation, and company data, while the illustrative code does not fully establish how all named measures should be calculated.
Key ideas
- The screen combines a price-range threshold, a large-order net-volume measure, and a buyer-to-seller volume ratio above 1.3.\nSelected stocks are ranked by market capitalization from largest to smallest.\nThe document frames the measures as signals of trading activity and capital flows.\nIt gives sample logic but no performance evidence.\nIt cautions about unstable sentiment, potential manipulation, and drawdowns, and suggests adding fundamental and industry data.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.