Screening Stocks with Positive MACD and Auction Turnover
Summary
The document outlines an equity screen requiring MACD to be above zero, a qualifying company type, and previous-day auction turnover above 0.26. It presents these filters as a combination of technical direction and liquidity: positive MACD is used to find stocks with upward momentum, while auction turnover is intended to favor names with sufficient trading activity. The accompanying example describes collecting stock and price data, calculating MACD, and checking the criteria.
The author notes that market conditions can make the selection uncertain and that auction turnover may vary with risk appetite and sector behavior. The suggested improvement is to add other technical and liquidity measures and assess company fundamentals such as past performance and profitability. No backtest or results are supplied, and the company-type condition is not explained in detail. The document therefore offers a screening recipe, not evidence that the chosen threshold or combined rules produce profitable trades.
Key ideas
- The proposed screen requires MACD above zero, a qualifying company type, and previous-day auction turnover above 0.26.
- Positive MACD serves as a directional filter, while auction turnover is used as a liquidity proxy.
- The example applies the filters to stock and historical price data before reporting qualifying names.
- Auction turnover can reflect changing market risk appetite and sector conditions.
- The document provides no performance test and leaves the company-type rule underspecified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.