Screening Stocks with Intraday MACD, Amplitude, and Bollinger Bands

Summary

The proposed screen combines three conditions: price amplitude above one, a shortening negative MACD histogram on a 15-minute interval, and a close above the Bollinger middle band but no higher than its upper band. The author interprets the amplitude condition as selecting more volatile stocks, the MACD histogram as a possible sign of changing direction, and the Bollinger location as context for price relative to its history.

The article offers formula and Python examples, but the implementation details warrant checking. The amplitude example uses turnover ratio in the Python filter, while the formula describes a high-low range; the MACD example uses a single stock’s intraday series in a broader screen. The article supplies no backtest or performance evidence. It cautions that technical filters can omit fundamentals and liquidity, and that historical-price bands may fail to reflect broader risks. It suggests adding fundamentals, sector context, and other indicators, though these additions are not tested or specified as a validated strategy.

Key ideas

• The screen combines amplitude above one, a shrinking negative 15-minute MACD histogram, and a close between Bollinger middle and upper bands.
• The indicators are presented as volatility, potential momentum change, and historical price-position filters.
• The sample code uses a turnover-ratio filter where the stated amplitude condition is a high-low range.
• The article provides no evidence from backtesting and warns that indicator-only screening omits important factors.

Tags

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