Stock Screening with Daily Amplitude, Weekly MACD, and Positive Returns

Summary

This strategy note proposes screening stocks for daily amplitude above 1, a positive weekly MACD histogram, and positive returns. It frames the conditions as a combination of volatility, trend direction, and recent profitability. The article supplies example indicator-formula logic and Python-style pseudocode, but the examples do not cleanly mirror the stated weekly rule: the pseudocode uses a daily MACD reading, and the formula implementation details are not fully explained.

The document offers no backtest results, sample period, transaction-cost assumptions, or evidence that the three filters forecast future performance. It recognizes that price-based signals omit fundamental factors and that observed gains may not persist. It suggests adding valuation measures and combining multiple factors, potentially with machine-learning methods, but these are recommendations rather than evaluated improvements. The screen is therefore best understood as an illustrative selection hypothesis whose definitions and results would need independent checking.

Key ideas

• The proposed screen requires daily amplitude above 1, a positive weekly MACD histogram, and positive returns.
• The conditions combine a volatility filter with trend and return measures.
• The provided code examples appear to differ from the prose on the MACD time frame.
• The note gives no backtest or evidence that the conditions predict future gains.
• It suggests adding fundamental factors, but does not test whether they improve the screen.

Tags

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