Stock Screen Combining MACD, Three Down Days, and Ten-Day Returns

Summary

This stock-selection note combines three conditions: MACD above its zero line, three consecutive declining sessions, and a positive return over the prior ten days capped below 35%. The proposed interpretation is that the MACD condition retains stocks with positive trend momentum, while the losing streak identifies a recent pullback and the return band limits the screen to stocks that have risen without exceeding the stated threshold. Example code shows screening stocks and allocating portfolio value equally across selected names, with holdings removed when they no longer qualify.

The note flags several limitations: a short-term return filter can overlook longer-term value, multiple conditions may leave a small or concentrated universe, and MACD can lag price changes. It recommends adding market and fundamental context and reviewing the breadth of the resulting sample. The document offers no performance evidence, transaction-cost analysis, or detailed exit and risk controls. Its code’s MACD histogram checks should also be distinguished from the stated condition of MACD itself being above zero.

Key ideas

• The screen combines a positive MACD zero-line condition, three consecutive down sessions, and a bounded positive ten-day return.
• The down-day sequence is intended to identify a pullback within stocks that have recently gained.
• The note warns that restrictive filters can shrink and concentrate the candidate set.
• MACD lag and short-term focus are cited as limitations.
• The example allocates equally across qualifying stocks but provides no reported backtest results.

Tags

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