Stock Screening with Turnover, Order Flow, and Trading Value
Summary
The document describes a daily stock screen using turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and previous-day trading value above 60 million. It presents the filters as a way to focus on stocks with activity and apparent buying pressure while excluding less liquid names. SQL and Python examples illustrate how to apply the criteria.
The post notes that the screen omits company fundamentals and that a single prior-day trading-value threshold may misclassify candidates. It suggests adding fundamental and industry data and adapting the rules to market conditions. No backtest, performance evidence, execution assumptions, or handling of missing or zero internal volume is provided, so the screening logic should be read as a proposed selection rule rather than a validated strategy.
Key ideas
- The screen filters stocks by turnover, external-to-internal volume ratio, and previous-day trading value.
- Its volume ratio threshold is above 1.3, while turnover is restricted to a 3% to 12% band.
- The post frames these measures as liquidity and buying-pressure indicators.
- Fundamentals and industry characteristics are omitted, and the thresholds are not validated with performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.