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

Summary

This stock-selection rule screens for names with an amplitude measure above 1, large-order net volume above 0.05 for at least three consecutive days, and a volume ratio between 1.5 and 6. It frames amplitude as a measure of price movement, net volume as a proxy for buying pressure, and volume ratio as a gauge of trading activity. The document includes formula and code examples for calculating these filters, though the provided Python amplitude filtering does not clearly match the stated threshold description.

The approach relies on technical and flow measures and does not incorporate company fundamentals. The source warns that amplitude and volume can change sharply in extreme conditions and suggests combining other indicators or risk controls. It offers no backtest, evidence of predictive value, or detailed execution rules, so the screen should be read as a proposed selection heuristic rather than a validated strategy.

Key ideas

• The screen combines an amplitude threshold, sustained positive large-order net volume, and a bounded volume ratio.
• The stated criteria require large-order net volume above 0.05 for at least three consecutive days.
• The document interprets amplitude, net volume, and volume ratio as measures of price movement, flow, and activity.
• The method focuses on technical inputs and omits fundamental analysis and explicit risk controls.
• No performance testing is presented, and the example code may not implement the described amplitude condition consistently.

Tags

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