Screening Stocks with Volatility, MACD, and Volume Conditions

Summary

The document describes a stock screen combining a minimum daily amplitude, MACD above zero, and a bounded ratio involving the previous day’s turnover rate, the current auction’s buy volume, and the prior day’s volume. It presents the screen as a way to find shares with price movement and volume activity, then sketches indicator formulas and a data retrieval example.

The explanation flags a key weakness: unusually small or large prior volume and elevated auction volume can distort the ratio and produce unreliable selections. It suggests adding trading-value and order-book measures, but does not define a final, fully specified combined rule; its stated final screen shifts to an unspecified trading-value range and other factors. No backtest, performance evidence, or implementation validation is given, and the sample data workflow appears limited to one stock. Treat the thresholds and rationale as an initial screening idea requiring careful definition and testing.

Key ideas

• The proposed screen combines price amplitude, MACD position, and a volume-related ratio.
• The ratio compares prior turnover with current auction buying volume relative to prior volume.
• Extreme or atypical volume can make the ratio misleading.
• The document suggests adding trading value and order-book measures, without specifying a complete final rule.
• No historical performance results or validation are reported.

Tags

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