Intraday Stock Screening with Range, Auction Volume, and MACD

Summary

This intraday stock-selection approach combines price range, relative trading activity, and a short-term MACD signal. It seeks stocks with an amplitude above 1, a product of the prior day’s turnover and the ratio of current auction volume to prior volume between 0.5 and 2, and a shrinking negative MACD histogram on a 15-minute chart. The accompanying Python sketch checks for a negative histogram that is rising toward zero and uses volume and turnover data to approximate the activity condition.

The article presents no backtest or return evidence. It cautions that the approach relies on price, volume, and technical indicators while omitting company fundamentals and broader market conditions, and that technical-only selection can encourage excessive trading. The prose and code use different calculations and timing details, so the exact range and volume definitions should be reconciled before testing.

Key ideas

• The screen looks for price amplitude above 1 and a turnover-adjusted auction volume ratio between 0.5 and 2.
• It requires a negative 15-minute MACD histogram that is becoming less negative.
• The strategy relies on technical and volume data without a fundamental filter.
• The examples do not fully specify consistent calculations, and the article reports no performance tests.

Tags

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