Stock Screening with Turnover, Large-Order Flow, and Company Quality

Summary

This stock screen combines turnover between 3% and 12% with a positive product of the day’s price change and net large-order flow. It also requires a company-quality score above a stated threshold, using a custom field in the sample formula. The Python example ranks qualifying shares with a weighting based on average turnover and volume relative to the latest closing price, then returns a limited list.

The article presents company quality as a way to focus the screen on stronger businesses, but acknowledges that this judgment can be subjective. It recommends defining quality with measurable fundamentals such as profit growth or return on equity. No historical test or evidence of predictive performance is supplied. There are also discrepancies among the stated conditions and examples: the prose specifies turnover, while one formula emphasizes a price-change range and uses different flow expressions. The signals and data definitions therefore need to be reconciled before relying on the screen.

Key ideas

• The screen combines turnover, the sign of price change multiplied by net large-order flow, and a company-quality filter.\nThe sample implementation ranks candidates using turnover and volume relative to closing price.\nCompany quality is acknowledged as subjective and could be quantified with fundamental measures.\nThe article provides no backtest or performance evidence.\nThe prose, formula, and code do not express every condition consistently.

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