Stock Screening with Turnover, Large-Order Flow, Volume, and Opening Gaps

Summary

This stock screen combines a turnover range of 3% to 12% with a positive product of price change and net large-order flow. It also requires current volume above 10,000 lots and an opening price above the prior close. The accompanying implementation ranks qualifying stocks using a weight based on average turnover and volume relative to price, then returns up to a specified number of names.

The document frames turnover, price movement, volume, and the opening gap as signals of trading activity and market sentiment. It offers no test results, and it cautions that technical filters omit valuation and other fundamentals. There are inconsistencies across the stated rule and examples: some code checks prior-day turnover, the narrative says current turnover, and the formula comments describe a bounded price-change range absent from the prose. The code also mixes concepts of net flow and volume. These ambiguities and the lack of validation limit how directly the example can be used.

Key ideas

• The screen combines turnover, price change, large-order net flow, volume, and an opening gap.
• Qualifying turnover is stated as between 3% and 12%, while current volume must exceed 10,000 lots.
• The opening price must be above the previous close, and the price-change times net-flow measure must be positive.
• The sample ranks candidates by a weight involving average turnover, average volume, and price.
• The article contains mismatches between its narrative conditions and code examples and reports no performance evidence.

Tags

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