Stock Screening with Turnover, Order Flow, and Moving Averages

Summary

This stock selection example combines trading activity and a trend filter. It screens for stocks with turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and a 20-day moving average above the 120-day moving average. The accompanying explanation treats turnover as a measure of market activity, the volume ratio as a rough indication of buying versus selling pressure, and the moving averages as short- and longer-term trend measures.

The post supplies formula and Python examples, but it does not report a backtest, performance statistics, or evidence that the screen predicts returns. It cautions that the filters can exclude less actively traded companies and may be sensitive to market conditions. It suggests adding financial and fundamental measures to address some limitations. The examples are implementation references rather than a complete portfolio or trading system; they do not specify position sizing, entry and exit rules, transaction costs, or risk controls.

Key ideas

• The screen requires turnover between 3% and 12% and an external-to-internal volume ratio above 1.3.
• It uses the 20-day moving average being above the 120-day average as a trend condition.
• The post interprets turnover and volume imbalance as measures of activity and trading pressure.
• The screen may miss quieter stocks and remains exposed to broad market fluctuations.
• No backtest results or complete portfolio and execution rules are provided.

Tags

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