A Volatility and Multi-Signal Moving-Average Stock Screen
Summary
This note proposes screening stocks for amplitude above 1, a shortening negative MACD histogram on a 15-minute interval, and simultaneous bullish crosses across moving averages of 5, 10, 20, and 60 periods. The combined conditions are intended to identify active stocks where short-term momentum may be turning upward and where several trend measures agree. It includes indicator formulas and a Python illustration using price data and moving averages.
No backtest results or performance evidence are provided. The description warns that technical indicators lag and that requiring several signals at once may miss other market changes. The code example does not clearly implement the stated amplitude measure, and its moving-average checks compare averages rather than explicitly detecting simultaneous crosses. The proposal is therefore best read as a screening concept; the signal definitions and timing would need to be made consistent before evaluating it.
Key ideas
- The proposed screen combines amplitude above 1 with a shrinking negative MACD histogram on a 15-minute interval.
- It requires bullish moving-average crosses across four lookback periods.
- The document offers formulas and an illustrative implementation but no backtest evidence.
- Technical indicators can lag, and simultaneous signal requirements may exclude relevant changes.
- The example code does not fully match the stated screening conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.