Filtering Stocks by Amplitude, MACD, and Convertible Bond Status
Summary
The note proposes a stock screen combining prior-period price amplitude above 1, a MACD condition above the zero line, and a nonempty name for outstanding convertible bonds. It presents amplitude as a volatility filter, MACD as a possible positive signal, and the bond field as a proxy for company financial condition. It also suggests adding financial or performance measures to refine the screen.
No backtest, sample, or performance evidence is provided. The rationale for treating a convertible bond name as evidence of financial health is weak, and the note itself acknowledges that this field may not represent a company’s condition. The stated criteria also cover only a few dimensions of price behavior and company characteristics, so they cannot establish that selected stocks are more likely to rise or remain stable. The formula and code examples are references for expressing the filters, not validation of the strategy.
Key ideas
- The screen combines amplitude above 1, a MACD zero-line condition, and a nonempty outstanding convertible bond name.
- The note treats amplitude as a volatility filter and MACD as a possible positive signal.
- A convertible bond name is an uncertain proxy for a company’s financial condition.
- The document gives no empirical results and recommends considering additional financial or performance measures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.