Stock Screening with Volatility, Institutional Participation, and Fund Flows

Summary

The article describes a daily, post-close stock screen combining three conditions: a five-period amplitude measure above one, institutional participation above thirty, and a positive main-fund control measure from the prior day. It frames the combination as a short-term signal seeking stocks with sizable price movement, institutional involvement, and positive capital flows. It also includes formula references and an illustrative Python approach, but does not report backtest results or define the data sources and calculations behind each measure in enough detail to reproduce the screen reliably.

The stated limitations are that the screen focuses on short-term indicators and may overlook company fundamentals and industry conditions. The article suggests adding fundamental and sector assessment and adjusting thresholds to suit risk preferences. Its claims about signal strength are not supported by performance evidence, so the conditions should be treated as a screening hypothesis rather than a demonstrated edge.

Key ideas

• The screen selects stocks after the close using an amplitude threshold, institutional participation, and a positive prior-day fund-control measure.
• The author positions the combination as a short-term stock-selection signal.
• The article cautions that the screen omits company fundamentals and broader industry conditions.
• No backtest or performance evidence is provided, and the indicator definitions require verification.

Tags

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