Screening Stocks with Price Range, MACD, and Auction Net Buying

Summary

The document describes a stock screen that combines three conditions: daily price amplitude above a threshold, MACD above its zero line, and positive net buying attributed to major participants during the opening auction. The intended rationale is to find stocks showing both price movement and upward technical momentum while auction order flow leans toward buyers. It gives example indicator definitions and a Python sketch for applying the filters to market data.

The screen is a simple rule set rather than a tested strategy: the document provides no performance results, holding period, position sizing, or exit rules. It also warns that technical and market-sentiment inputs omit company fundamentals and other relevant factors. Its sample implementation has potential ambiguities, including differences between the stated amplitude threshold and the code’s calculation, and between a MACD zero-line crossover and merely being above zero. The auction-flow measure is data dependent, so its interpretation and availability may vary by feed.

Key ideas

• The screen requires price amplitude above a threshold, MACD above zero, and positive opening-auction net buying.
• The proposed rationale combines price movement, trend indication, and auction order flow.
• The article includes example indicator formulas and a sample data-screening workflow.
• No backtest, exit method, or risk-sizing process is provided, and the screen omits fundamental factors.

Tags

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