Stock Screening with Intraday Range, MACD, and Auction Net Buying

Summary

This document describes a stock screen combining three conditions: amplitude above 1, a shortening negative MACD histogram on a 15-minute chart, and positive net buying attributed to major participants during the auction. The stated rationale is to find shares with notable movement, a potentially changing short-term trend, and supportive buying activity. It also gives example indicator formulas and a Python-style workflow for filtering and ranking candidates; these examples illustrate implementation rather than establish that the signals are correctly calculated or profitable.

The author cautions that the screen uses technical and capital-flow measures while omitting company fundamentals, and that some thresholds or interpretations may be subjective. Suggested extensions include financial measures such as valuation and earnings, plus broader market sentiment and sector movement. No historical test, performance statistics, transaction-cost analysis, or precise definition of the auction-flow measure is provided. The strategy should therefore be treated as a proposed screening rule, not evidence of an edge; the code examples also contain data and calculation assumptions that would need checking before use.

Key ideas

• The screen requires amplitude above 1, a shrinking negative MACD histogram on a 15-minute interval, and positive auction net buying.
• The document links amplitude to volatility, MACD histogram contraction to a possible trend shift, and net buying to capital flow.
• It provides example formulas and a data-filtering workflow, but no performance evaluation.
• The method omits fundamentals and may depend on subjective indicator definitions or thresholds.
• The author suggests adding company financial measures and market or sector sentiment.

Tags

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