Screening Stocks with Weekly MACD, Price Amplitude, and Turnover

Summary

This stock-selection proposal filters for amplitude above 1, weekly MACD above zero, and turnover between 2% and 9%. It combines a price-range condition and a weekly trend measure with turnover as a proxy for trading activity and liquidity. The document includes example formulas and a Python-style outline for applying the filters to stock data, but it does not report a backtest, sample, benchmark, or realized returns.

The author notes that the screen relies on technical conditions and turnover while omitting company fundamentals and industry context. Market shifts or company news can still produce adverse moves, and the stated relationship between activity and intraday behavior is not supported with measured evidence. Suggested refinements include adding market, financial, and industry data and considering the broader market environment. The material therefore describes a screening rule and its rationale, not a validated investment strategy; its code examples also leave data and indicator implementation details unspecified.

Key ideas

• The proposed screen requires amplitude above 1, weekly MACD above zero, and turnover in the 2% to 9% range.
• It combines price movement and trend conditions with turnover as a measure of market activity.
• The document gives formula and code examples but reports no performance evaluation.
• The screen omits fundamentals and industry conditions, leaving it exposed to market changes and company news.
• The author suggests adding market, financial, and industry data to improve the selection process.

Tags

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