Screening Stocks with MACD and a Five-Day Moving Average

Summary

This stock screen combines three technical conditions: daily amplitude above 1, MACD above its zero line, and closing price above the five-day moving average. The document explains these as filters for price movement and recent upward direction, then gives example formulas and a Python outline for applying them.

The rationale is that amplitude selects stocks with some movement, positive MACD indicates upward momentum, and price above the short moving average supports a near-term uptrend. The examples do not provide a backtest, performance evidence, or clear operational details for applying these calculations consistently. The Python amplitude formula and threshold also differ in scale from the written screening rule, and the MACD condition is described as a zero-line crossing in one example but as simply positive in another. The document notes that technical filters omit company fundamentals and suggests adding financial and industry factors, potentially with weights. These conditions alone therefore do not establish expected returns or control risk.

Key ideas

• The screen requires amplitude above 1, MACD above zero, and closing price above the five-day moving average.
• The stated rationale is to combine price movement with a short-term upward trend signal.
• The formula examples are not fully consistent about amplitude scaling or whether MACD must cross zero.
• The document provides no backtest or performance results for the screen.
• It cautions that technical indicators omit fundamentals and other relevant factors.

Tags

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