Equity Screening with Intraday MACD, Turnover, and Price Range

Summary

This screening proposal looks for equities with a price range greater than one, a shortening negative MACD histogram on a 15-minute interval, and turnover between 2% and 9%. The stated rationale is to combine larger price movement, a possible easing in downward momentum, and sufficient trading activity. The document suggests pairing these signals with fundamental measures such as valuation ratios and longer-term moving averages, and adjusting criteria to market conditions and risk tolerance.

It provides indicator formulas and a Python illustration, but does not report a backtest, return data, or evidence that a shrinking negative histogram reliably precedes a reversal. The terminology and implementation also need care: the prose says price range, while the sample filters a field labeled turnover ratio for the range condition; the MACD formula and example may not fully capture the stated 15-minute condition across a stock universe. The note warns that liquidity changes and shifting market conditions can make the screen less useful. The rules should be checked against consistently defined data and tested before use.

Key ideas

• The proposed screen combines a price range above one, a shortening negative 15-minute MACD histogram, and turnover from 2% to 9%.
• A contracting negative histogram is presented as a possible sign of changing momentum, not as a confirmed reversal signal.
• The sample implementation appears to use a turnover field for the price-range filter, creating a definition mismatch.
• The document provides no performance evidence and flags changing liquidity and market conditions.
• It recommends combining technical signals with fundamental measures and risk-aware adjustments.

Tags

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