Net-Buy Intensity — institutional flows normalized by volume, beyond raw rankings
Daily "top foreign net-buy" rankings are everywhere, but 5,000 lots is a rounding error for a mega-cap and a tsunami for a small-cap. We normalize official daily institutional net flows by trading volume, then compute rolling means and historical z-scores — putting stocks of any size on the same scale, instead of ranking raw amounts.
How it is computed
Intensity = daily institutional net-buy lots ÷ daily volume; we then take the rolling N-day (default 20) mean and a z-score against the stock's own history, answering "how unusual is this flow by its own standards". Source is the exchange's official post-close institutional data, availability-date stamped — no lookahead in backtests. Honest limit: flows can reflect hedging or index rebalancing, not directional views.
High intensity is not a reason to chase
Institutional buying can be a hedge leg, a cash-futures arbitrage, or a passive index rebalance. All of it clears through the same official net-flow tape, and none of it necessarily expresses a bullish view.
Intensity measures how unusual the flow is by this stock's own standards. It reports magnitude, not intent, and is not a recommendation.