Stock Screening with Range, Institutional Flow, and the 10-Day Average

Summary

This article describes a stock screen combining three conditions: daily amplitude above a threshold, positive institutional net flow, and an opening price near the 10-day moving average. Its rationale is to find volatile stocks attracting institutional attention while trading near a short-term average. The article provides example implementations for two trading platforms and suggests ranking the resulting stocks by turnover.

The examples are not fully consistent about how to define the conditions. One formula tests whether the open is below the moving average, while another uses a band around it; the amplitude threshold and the phrase “near” also need careful interpretation. The article offers no backtest results or evidence that the screen predicts returns. It cautions that market movements and institutional activity are uncertain, and recommends evaluating additional market and fundamental factors and adjusting risk controls as conditions change.

Key ideas

• The screen combines price amplitude, institutional net flow, and the opening price relative to a 10-day average.
• Institutional flow is approximated by summing net amounts over a recent period in the examples.
• The two code examples define proximity to the moving average differently, so the rule needs an explicit specification.
• The article provides no performance evidence and notes that market conditions and investor activity can make outcomes uncertain.

Tags

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