Stock Screening with Price Range, Turnover, and Large-Order Flow

Summary

This stock-selection method requires a minimum daily price range, prior-day trading turnover above a stated threshold, and positive large-order net flow for at least three consecutive days. The article frames range as a measure of movement, turnover as a liquidity filter, and sustained positive net flow as an indication of buying interest. Its sample code illustrates combining boolean conditions, including a rolling check that the flow condition holds across three observations.

The post supplies no historical results or evidence that the flow signal predicts returns. It cautions that the screen depends on investor-flow measures that can change with market sentiment, and that a multi-day requirement may exclude stocks that otherwise perform well. It suggests considering broader market conditions and company fundamentals as additional filters. The narrative and sample code use potentially different definitions and units for range, turnover, and large-order flow, so those data fields and thresholds should be reconciled before implementation.

Key ideas

• The screen combines price range, prior-day turnover, and several consecutive days of positive large-order net flow.
• The sample uses a rolling condition to check whether net flow remains positive across three observations.
• The article treats sustained flow as a sign of market interest but provides no predictive performance evidence.
• Flow-based filters may change with sentiment and can exclude stocks that do well without meeting the condition.

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