A Weekly MACD and Amplitude Filter for Stock Selection

Summary

This post presents a stock screen combining daily price amplitude, a positive weekly MACD signal, and a minimum total market capitalization. Its rationale is to look for volatile stocks with an upward weekly signal while retaining companies above a size threshold. The post also describes ranking candidates by recent trading volume relative to its average and refers to restricting the universe to index constituents. It provides formula and Python examples, though implementation details and measures differ between the stated rules and examples.

The author notes that a size-and-technical screen can overlook smaller stocks and ignores fundamentals such as profitability and financial condition. Suggested additions include return on equity, net income, and valuation measures, as well as loosening the amplitude threshold. The document gives no backtest results or evidence that the screen predicts returns. The examples also contain inconsistencies about market capitalization measures and index filtering, so the precise screen would need to be clarified before reproduction.

Key ideas

• The proposed screen combines amplitude, a positive weekly MACD condition, and a market-capitalization threshold.
• The post describes ranking qualifying stocks by recent volume relative to its average.
• The examples refer to index constituents, but the precise universe restriction is not consistent throughout.
• The author identifies the omission of financial fundamentals as a limitation.
• No performance results are supplied, and implementation details should be reconciled before testing.

Tags

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