Combining Amplitude, MACD, and Limit-Up Frequency in an Equity Screen

Summary

The document outlines a stock-selection rule requiring amplitude above 1, MACD above its zero line, and at least two limit-up events during the previous 500 days. It interprets amplitude as a sign of movement, MACD as a positive technical condition, and repeated limit-ups as evidence of market interest. The proposed refinement is to consider fundamentals and industry context alongside these price-based filters.

The note supplies formula and Python examples, but reports no historical test, performance statistics, or comparison with a benchmark. Some implementation details are inconsistent or oversimplified: the formula counts upward closes rather than verified limit-up moves, and its strict greater-than-two condition conflicts with the stated minimum of two. The MACD expression uses a crossing condition, which differs from a persistent above-zero test. Limit-up thresholds and price adjustments also depend on market conventions. The screen should therefore be treated as a rough specification requiring validation, not as demonstrated evidence of an edge.

Key ideas

• The screen combines amplitude above 1, a MACD zero-line condition, and multiple limit-up events in a 500-day window.
• The proposed interpretation links these filters to volatility, momentum, and market attention.
• The limit-up formula may count ordinary price increases rather than actual limit-up events.
• The code’s threshold and MACD crossing condition differ from the prose description.
• The document gives no performance evidence and recommends fundamental and sector context.

Tags

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