Stock Screening with Volatility, Recent Price Surges, and Institutional Flows

Summary

This stock-selection screen looks for shares with a minimum intraday range, at least one large daily gain within the recent 25-session window, and positive institutional buying direction. The criteria aim to combine volatility, evidence of a recent sharp upward move, and a measure of institutional activity. The document also sketches formula and Python examples, though some components are placeholders and the examples do not fully implement the stated institutional-flow condition.

The author identifies several limitations: the institutional-flow measure lacks a strict definition and may be distorted, the rules omit fundamentals and broader market context, and reliance on past price behavior may not adapt well to changing conditions. Suggested improvements include better-defined flow data, company and industry analysis, and explicit trading-cost and entry-exit rules. No backtest results or returns are reported, so the screen is an outline for candidate selection rather than demonstrated evidence of an effective strategy.

Key ideas

• The screen combines an intraday range condition, a recent large daily gain, and positive institutional-flow direction.
• The criteria seek stocks showing volatility, a sharp upward move, and institutional interest.
• The institutional-flow signal is not precisely defined, limiting reproducibility and increasing susceptibility to noisy data.
• The document recommends adding fundamentals, industry context, costs, and trade rules.
• No performance results are supplied, and parts of the example implementation remain unspecified.

Tags

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