Stock Screening with Amplitude, Turnover Activity, and Weekly MACD

Summary

The proposed equity screen combines daily amplitude above 1, a turnover activity measure between 0.5 and 2, and weekly MACD above its signal line and zero. The activity measure is described as yesterday’s turnover multiplied by today’s auction volume relative to yesterday’s volume. The article’s rationale is to pair active, volatile shares with positive weekly momentum.

It includes formula descriptions and sample Python-style selection logic, but the code’s data handling and indicator details are not validated in the text. No backtest, benchmark, or realized returns are given. The author notes that liquidity and volatility filters can select risky rebound candidates, MACD reacts to market conditions, and thresholds may need adjustment by sector. Suggested additions include other technical and fundamental measures, though no evidence is offered that these changes improve results.

Key ideas

• The screen combines amplitude, a bounded turnover and auction-volume measure, and positive weekly MACD.
• Weekly MACD must be above both its signal line and the zero level.
• The article describes volatility and trading activity as signs of opportunity, while acknowledging elevated risk.
• It recommends considering sector differences and additional fundamental or technical filters.
• No empirical performance results or backtest are supplied.

Tags

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