A Volatility, Weekly MACD, and Ten-Day Return Stock Screen

Summary

This note describes a stock-selection screen based on daily amplitude above 1, a positive weekly MACD histogram, and a ten-day return greater than zero but below 35%. The intended combination seeks stocks with active price movement, a positive weekly trend signal, and recent gains that remain within a specified range. The article provides formula and Python-style examples for calculating the filters, though the implementations appear to differ in how they express the weekly signal and amplitude threshold.

The author cautions that the screen does not assess company quality, earnings, or valuation, and that short-term price strength can be mistaken for durable investment merit. Suggested additions include RSI or DMI, valuation and profitability measures, and industry-specific checks. The note gives no backtest, benchmark, holding-period definition, transaction-cost estimate, or evidence that its thresholds improve returns. The conditions should therefore be treated as a screening recipe requiring data-definition checks and independent testing, not as a validated strategy.

Key ideas

• The screen combines amplitude above 1, a positive weekly MACD reading, and a ten-day return between zero and 35%.
• The filters aim to capture active stocks with positive trend momentum while limiting recent run-ups.
• The article warns that technical strength does not establish strong fundamentals or reasonable valuation.
• It suggests adding technical, fundamental, and industry filters.
• No empirical performance evidence is provided, and the sample implementations may not align exactly with the written rules.

Tags

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