Stock Screening with Turnover, Price Change, and Institutional Net Buying

Summary

This stock selection rule filters for turnover between 3% and 12%, requires the product of the day’s percentage price change and a large-order net-flow measure to be positive, and adds positive institutional net buying as a further condition. The accompanying explanation frames turnover as a measure of activity and the flow-related conditions as signs of market energy or institutional interest. A Python example outlines how to apply these filters to grouped stock history data using the latest observation.

The document cautions that the screen ignores fundamentals and may select companies with weak business conditions; institutional buying alone does not make a stock safe. It suggests adding profitability, valuation, growth, and other flow measures for broader assessment. No backtest, performance figures, benchmark, universe definition, or precise data methodology is provided, and the example’s field definitions and flow calculations would need validation before use.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a positive price-change-by-large-order-flow condition.
• It also requires positive institutional net buying.
• The sample implementation applies the conditions to the latest observation for each stock.
• The rule omits fundamental analysis and can select financially weak companies.
• The document provides no backtest or evidence of predictive performance.

Tags

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