Equity Screening with Intraday MACD Contraction and Turnover Filters

Summary

The proposed equity screen combines three conditions: price amplitude above a threshold, a shrinking negative MACD histogram on a 15-minute interval, and previous-day actual turnover within a specified range. The article treats amplitude as a volatility filter, a contracting negative histogram as a possible sign of changing momentum, and turnover as a measure of market activity. It includes indicator formulas and a Python example that sketches how to combine the filters.

The article gives no backtest, sample results, or evidence that the combined conditions improve selection. It acknowledges that the screen relies on technical and activity measures without company fundamentals, and suggests adding fundamental and other technical analysis. The example code’s field usage and data alignment are not fully explained, so it should not be assumed to implement every stated condition correctly. In particular, the narrative refers to price amplitude while the sample filters a turnover field, making implementation review important before use. The rules are a screening proposal, not a validated trading strategy.

Key ideas

• The screen combines price amplitude, a contracting negative MACD histogram on a 15-minute interval, and prior-day turnover.
• The article interprets the filters as measures of volatility, potentially changing momentum, and market activity.
• It provides indicator formulas and a code sketch but no performance results.
• Fundamental information is omitted, which the article identifies as a limitation.
• The sample implementation should be checked because its fields may not match the written rules.

Tags

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