Stock Screening with Volatility, Broker Rankings, and Large-Order Flow

Summary

This stock screen combines daily price range, appearance on a broker ranking list, and large-order net flow. It selects stocks with amplitude above 1, a listing on the previous day's ranking, and large-order net volume above 0.05 for at least three consecutive days. The article interprets these conditions as signs of elevated short-term movement, notable trading activity, and sustained buying interest.

It gives formula-style and Python examples, but reports no backtest results or evidence of profitability. The article notes that simulated results can differ from live trading, ranking-list activity may reflect price influence or manipulation, and positive large-order flow does not guarantee further gains. It suggests combining the signals with other measures, market context, and risk controls. The examples calculate some conditions differently from the prose, so the precise screen depends on how amplitude, ranking data, and net flow are defined and implemented.

Key ideas

• The screen requires amplitude above 1 and a prior-day appearance on a broker ranking list.
• It also requires large-order net volume above 0.05 for at least three consecutive days.
• The proposed rationale treats these conditions as signs of volatility and buying interest.
• The document provides example implementations but no performance results.
• Ranking activity and positive order flow do not ensure future price gains, and the examples may differ in implementation.

Tags

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