Stock Screening with Turnover, Order Flow, and a Weekly Moving-Average Cross

Summary

This stock-screening rule combines a turnover-rate band of 3% to 12%, an outside-volume to inside-volume ratio above 1.3, and a weekly close crossing above its 30-week moving average. The rationale presented is to combine a liquidity filter, a measure of trading activity, and a longer-term price trend condition. The page includes sample query logic and Python code that selects stocks meeting these conditions, with an additional restriction to codes beginning with specified digits.

The source itself cautions that the indicator choices and thresholds are subjective, may be overfit, and can react slowly to market cycles or company-specific changes. It suggests considering other technical measures and fundamental information, but provides no backtest results, benchmark comparison, or evidence that these additions improve performance. Implementation details also differ slightly: the written rule describes turnover boundaries inclusively, while the Python example uses strict inequalities. The screen is therefore a candidate selection recipe, not proof of a profitable strategy.

Key ideas

• The screen requires turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and a weekly close crossing above its 30-week average.
• The conditions combine liquidity, trading activity, and a longer-term trend signal.
• The example code adds a stock-code filter beyond the written screening criteria.
• The source warns that chosen indicators and thresholds may be subjective, overfit, and slow to respond.
• No performance testing or evidence of profitability is provided.

Tags

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