Stock Screening with Turnover, DEA Momentum, and Afternoon Flows

Summary

The post describes a stock screen combining three conditions: turnover between 3% and 12%, a rising DEA signal, and positive afternoon large-order flow. It frames the filters as measures of trading activity, short-term direction, and buying pressure. The article includes example indicator logic and a Python-style implementation, though the displayed code’s flow calculations do not map cleanly to the stated afternoon large-order condition.

The author acknowledges that the screen omits other market drivers and suggests adding technical and fundamental variables, considering outflows, and using cross-validation to reduce overfitting. No backtest results or performance evidence are supplied. The signal definitions and data fields should be checked carefully before implementation, and the turnover and flow thresholds alone do not establish profitability or control risk.

Key ideas

• The screen combines a turnover band, a rising DEA condition, and positive order-flow measures.
• The stated purpose is to capture activity, short-term direction, and buying pressure.
• The example code’s flow calculations may not fully match the stated afternoon large-order filter.
• The post suggests additional indicators and cross-validation, but gives no performance results.
• The three filters do not account for all market, industry, or fundamental risks.

Tags

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