Equity Screening with Daily Amplitude and a Positive Weekly MACD

Summary

This post presents an equity screen requiring daily price amplitude above 1, a positive weekly MACD histogram, and exclusion of Beijing-listed shares. It describes amplitude as a way to filter out low-volatility stocks and the weekly histogram as a trend confirmation. Formula and Python examples are provided, though the Python example uses daily MACD and excludes other exchange segments, so it does not exactly match the stated weekly signal and Beijing exclusion.

The post offers qualitative rationale but no historical test, performance statistics, or evidence of predictive value. It also acknowledges that excluding a whole exchange can remove viable companies and recommends adding fundamental factors. The rules should therefore be treated as a screening proposal whose definitions and implementation need validation.

Key ideas

• The proposed screen requires daily amplitude above 1 and a positive weekly MACD histogram.
• It excludes Beijing-listed equities, which can narrow the eligible universe.
• The sample Python logic differs from the stated weekly indicator and exchange filter.
• No backtest or performance evidence is reported, and fundamental factors are suggested as additions.

Tags

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