Screening Stocks with Intraday MACD, Price Range, and Auction Buying Activity

Summary

This document proposes a stock screen combining price movement, a 15-minute MACD histogram condition, and buying activity around the opening auction. The stated criteria include an amplitude greater than 1, a shrinking negative MACD histogram, large auction-period buy orders, and aggregate very-large-order buying above 7 million. It supplies example indicator formulas and Python code using historical bars and tick data.

The author interprets the conditions as signals of elevated volatility, a possible change in direction, positive sentiment, and substantial buying interest. The document cautions that technical and flow indicators can omit fundamental information and that infrequent large-order data may lead to false signals; it suggests adding other indicators and news sentiment. The examples are not a validated strategy: the amplitude definition differs between the narrative and code, and the snippets contain implementation ambiguities. No backtest results, costs, holding rules, or evidence of predictive performance are given, so the proposed conditions should be treated as a screening idea rather than an established trading edge.

Key ideas

• The proposed screen combines price amplitude, a 15-minute negative MACD histogram that is shortening, auction-period buying, and very-large-order volume.
• The author interprets large-order activity as a possible indication of positive market sentiment and capital inflow.
• The document warns that indicator-based screening may neglect company fundamentals and that sparse order-flow data can produce false signals.
• The sample code and stated conditions contain ambiguities, and the document provides no performance validation.

Tags

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