Filtering Stocks by Auction Activity, Amplitude, and 15-Minute MACD

Summary

This stock-selection rule first filters for shares with amplitude above one and ranks candidates by the day’s auction amount, keeping the top five. It then selects those whose 15-minute MACD green bars are shortening, using recent indicator values as a proxy for improving momentum. The article includes reference formulas and sample Python-style logic, but does not report backtest results or define the amplitude measure in detail.

The author describes the screen as a way to focus on volatile, actively traded stocks while using MACD to identify a potentially improving move. The main caveat is indicator lag, which can cause the signal to miss rapid changes. The article suggests adding turnover or capital-flow measures for further analysis, but presents no evidence that these additions improve performance. Its selection rules are a screening concept rather than a fully specified execution or risk-management plan.

Key ideas

• The screen selects stocks with amplitude above one and ranks them by auction amount.
• It keeps the five highest-ranked stocks before applying a 15-minute MACD filter.
• Shortening green MACD bars are treated as a potentially favorable signal.
• MACD lag may cause the filter to miss fast price changes.
• The article offers no performance evidence or complete trading and risk plan.

Tags

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