Stock Screening with Turnover, Three Down Days, and Positive Auction Flow

Summary

This post proposes screening equities for turnover between 3% and 12%, three consecutive sessions with falling closes, and positive net buying attributed to major participants during the opening auction. The combination mixes a liquidity or activity filter, recent price weakness, and an order-flow signal. The author presents it as a way to identify stocks with notable trading interest despite recent declines.

The post includes formula and Python-style examples, but the code does not clearly enforce the stated turnover range, and its falling-close check compares closes rather than confirming three bearish candlesticks. No backtest, sample selection results, or performance measurements are reported, so the claimed usefulness of auction buying is unsupported here. The author notes that company fundamentals are excluded and that broader market or business conditions could still drive selected stocks lower. Fundamental screening is suggested as a possible extension.

Key ideas

• The proposed screen combines turnover between 3% and 12% with three consecutive falling closes.
• It also requires positive net buying by major participants during the opening auction.
• The post supplies example formulas and code, but the implementation does not fully match all stated criteria.
• There is no reported performance evidence or validation of the auction-flow signal.
• The screen omits company fundamentals and remains exposed to broader market declines.

Tags

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