Stock Screen Using Intraday MACD Contraction, Amplitude, and Daily Return

Summary

This proposed stock screen combines amplitude above 1, a shrinking negative MACD histogram on a 15-minute chart, and a daily percentage change between -5 and 2.6. The rationale is that elevated movement can identify active stocks, while a contracting negative MACD histogram may signal a change in short-term direction. The document includes indicator formulas and a Python example that filters stocks and sorts candidates by traded amount.

The article offers no backtest, signal statistics, or evidence of profitability. It acknowledges that the thresholds may be subjective and that the rules omit market sentiment; it suggests considering flows, sector performance, and valuation data. There are also implementation inconsistencies: the prose calls amplitude the volatility measure, but the Python example filters a field named turnover ratio, and the claim that daily return is a fundamental measure is inaccurate. The MACD condition and data alignment would need careful verification before relying on the screen in live trading.

Key ideas

• The proposed screen combines amplitude, a contracting negative 15-minute MACD histogram, and a bounded daily return.
• The stated daily return range is greater than -5 and less than 2.6.
• The example ranks selected stocks by traded amount.
• The document supplies no backtest or performance evidence.
• Its prose and code differ on the amplitude input, so implementation details require checking.

Tags

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