Stock Screening with Turnover, Order Flow, and Prior-Day Limit-Ups

Summary

This document proposes screening stocks with turnover between 3% and 12%, a positive product of daily price change and large-order net volume, and no limit-up on the prior day. It presents the combination as a way to focus on active stocks where price movement aligns with a measure of large-order flow, while excluding stocks that had an unusually strong prior session. Formula and Python-style examples illustrate the intended filters.

The article offers no backtest or performance evidence. It cautions that technical filters do not replace fundamental analysis and that unusual market moves can affect the selections. The sample implementations include additional details, such as a price-change band and listing-age condition, that are not part of the summary rule, and their calculations may not map cleanly to the stated conditions. Suggested additions such as valuation metrics and closer study of trading volume are not evaluated.

Key ideas

• The proposed screen limits turnover to a stated range and requires price change to align in sign with large-order net volume.
• It excludes stocks that reached the daily limit-up condition on the previous day.
• The article provides illustrative formula and Python-style implementations but no performance evaluation.
• The code examples add conditions beyond the stated screen, so the implementations may not match the core rule exactly.
• The author recommends considering fundamental information alongside technical filters.

Tags

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