Stock Screening with Intraday MACD, Amplitude, and Auction Returns

Summary

This proposed stock screen combines three conditions: amplitude above one, a shortening negative MACD histogram on a 15-minute chart, and an auction-period return between minus two and five. The accompanying rationale treats larger amplitude as a way to find more active stocks, a contracting negative histogram as a possible sign of changing momentum, and the auction return as a short-term sentiment filter. It suggests adding money-flow, sector, moving-average, or Bollinger measures for broader context.

The document supplies formula and Python examples, but they have apparent implementation mismatches: the amplitude example filters turnover ratio rather than amplitude, and the Python MACD data is fetched for one stock before being merged with the broader screen. No backtest results or validation are reported. The rules are presented as a screening idea, not evidence of profitable performance; auction moves and technical signals can be noisy and short-lived.

Key ideas

• The screen combines amplitude, a contracting negative 15-minute MACD histogram, and a bounded auction return.
• The suggested interpretation is that these filters capture activity, potentially changing momentum, and short-term sentiment.
• The document proposes adding other sentiment and technical measures for context.
• The example code contains apparent mismatches in the amplitude filter and MACD data handling.
• No performance evidence is supplied, and the short-term signals may be noisy.

Tags

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