Screening for High-Amplitude Stocks with Positive MACD and Intraday Drops

Summary

The document proposes a stock screen combining three conditions: amplitude above one, MACD above its zero line, and an intraday low between four and five percent below the lower of the open and close. Its rationale is to find volatile stocks that have experienced a sharp intraday decline while retaining a positive MACD reading, on the premise that a rebound may follow. It gives indicator expressions and a Python-style example for applying the filters.

The source warns that a sharp decline can continue and that relying on a single set of factors can produce unstable selections. It suggests adding market-wide and company fundamentals as filters. The example does not specify a holding period, entry or exit rules, transaction costs, or a backtest, and its amplitude expression appears to use a different denominator from the written screening formula. The proposed rebound rationale therefore remains a hypothesis, not demonstrated evidence of an effective strategy.

Key ideas

• The screen combines price amplitude, positive MACD, and a specified intraday decline.
• Its rebound expectation is a rationale rather than a tested result.
• The document warns that large declines may continue and single-factor screens may be unstable.
• Market conditions and company fundamentals are suggested as additional filters.
• The example provides no trading exits, costs, or backtest evidence.

Tags

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