Stock Screening with Turnover, Large-Order Flow, and Bollinger Bands

Summary

The proposed screen selects stocks with turnover between 3% and 12%, a positive product of the daily price change and net volume attributed to very large orders, and a close above the Bollinger upper band. Its stated rationale is to combine active trading and large-order flow with price strength relative to a 20-period volatility band. The implementation examples also describe ranking candidates by a weight and limiting the selected list, though the details are not fully consistent across the formulas.

The document offers indicator formulas and a Python example but no backtest, return statistics, or comparison with a benchmark. It warns that the screen omits fundamentals and valuation, can be vulnerable to sudden market events, and may rely too heavily on Bollinger Bands. Combining additional indicators and validating with machine-learning methods are suggested, but no validation results are shown.

Key ideas

• The screen combines a 3% to 12% turnover range with a positive price-change and large-order-flow product.
• It requires the close to exceed the Bollinger upper band.
• The examples describe ranking selected stocks, although implementation details vary.
• No historical performance evidence is provided.
• The author flags omitted fundamentals and susceptibility to sudden events as limitations.

Tags

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