Stock Screening with Turnover, Order Flow, and Limit-Up Activity

Summary

This document describes an equity screening rule that selects stocks with turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and more than two limit-up days within a 10-day window. It frames these conditions as indicators of trading activity and market interest. Formula and Python examples are included, though their calculations do not fully align with the stated rule: the code uses strict turnover bounds and a rolling sum of positive high-price changes rather than directly counting limit-up days.

The post cautions that the screen can exclude fundamentally sound but less actively traded stocks and may be sensitive to market fluctuations. It suggests adding financial and fundamental criteria to reduce that limitation. No backtest results, portfolio construction rules, trading costs, or evidence of profitability are provided, so the screen should be treated as a candidate selection heuristic rather than a validated strategy.

Key ideas

• The stated screen combines turnover, the ratio of external to internal volume, and recent limit-up frequency.
• The described thresholds are turnover from 3% to 12%, a volume ratio above 1.3, and more than two limit-up days in 10 days.
• The provided example code does not exactly implement the stated turnover bounds or limit-up count.
• The screen may miss less active stocks and can be affected by market swings.
• The post suggests adding financial or fundamental filters but provides no evidence of improved returns.

Tags

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