Stock Screening with Volatility, Recent Gains, and Order Book Imbalance

Summary

This stock screen combines three conditions: daily amplitude above 1, at least one daily gain of 10% or more during the previous 25 trading days, and displayed first-level buy volume greater than sell volume. The document explains these as signals of price variability, recent strength, and market supply and demand. It also sketches a revised version that would add technical and fundamental criteria, such as MACD and return on equity, and adjust factor weights to market conditions.

The article warns that displayed order book quantities can be manipulated and may not reliably represent underlying supply and demand. It offers no performance data or backtest to establish whether the screen is profitable. Its sample formulas also differ from the stated conditions in places, so implementation would require checking that the indicators match the intended rules and the data available in the chosen platform.

Key ideas

• The screen requires amplitude above 1 and a daily gain of at least 10% within the prior 25 trading days.
• It adds a short-term order book condition in which first-level buy volume exceeds sell volume.
• Displayed order quantities can be manipulated, making the supply and demand signal unreliable.
• The suggested refinement combines market data with technical and fundamental factors, then adjusts their weights.

Tags

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