Stock Screening with Turnover, Order Flow, and Institutional Buying
Summary
This document describes a daily stock screen that filters for turnover between 3% and 12%, a ratio of external to internal trading volume above 1.3, and positive institutional net buying. It then ranks qualifying stocks by daily price change and selects the top five. The post presents the idea as a way to combine trading activity, buying pressure, institutional behavior, and recent performance.
It includes example implementations for screening and ranking, but does not provide a backtest, performance figures, or evidence that the criteria predict future returns. The author cautions that institutional activity is only a partial and potentially noisy signal, and suggests adding fundamental and industry information. The rule is therefore best understood as a proposed selection heuristic; its results may depend on data definitions, timing, and implementation details.
Key ideas
- The screen requires turnover between 3% and 12% and an external-to-internal volume ratio above 1.3.
- It also requires positive institutional net buying before ranking stocks by daily price change.
- The proposed portfolio consists of the five highest-ranked qualifying stocks.
- Institutional buying may be an incomplete or noisy signal, and the document reports no performance test.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.