Stock Screening with Price Range, Turnover, and Order Flow Imbalance

Summary

This note outlines a stock screen requiring a price range greater than one unit, prior-day turnover above 60 million, and external traded volume more than 1.3 times internal traded volume. The author presents this ratio as an additional market activity condition alongside price movement and trading activity. A Python example illustrates combining the three Boolean filters.

The article cautions that the screen leaves out other relevant variables, including returns, company size, and industry, and that external-versus-internal volume data may be inaccurate or affected by misleading trading. It suggests broadening the criteria and treating the volume ratio carefully. No backtest or empirical performance results are given, and the example’s calculation of prior-day volume from current data may not establish that it measures the intended period correctly.

Key ideas

• The screen combines a price-range threshold with a prior-day turnover requirement.
• It also requires external traded volume to exceed internal traded volume by a specified ratio.
• The author warns that volume classification data can be inaccurate or misleading.
• The criteria omit company size, industry, and other market or fundamental variables.
• The article provides no performance test for the screening rule.

Tags

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