Stock Screening with Price Amplitude, Control, and Lagged MACD

Summary

This document outlines a stock screen requiring price amplitude above a threshold, a current-day control measure above a threshold, and a MACD value below zero from two days earlier. It frames the inputs as measures of price movement, trading control or liquidity, and short-term technical direction. Formula and Python examples are provided to illustrate how to combine the conditions into a selection rule; the post also mentions ranking selected stocks.

No backtest results, sample trades, or evidence of profitability are reported. The discussion itself identifies important limitations: the rule relies on a narrow set of technical and price variables, MACD may behave differently across securities and markets, and the meaning of the control measure may be disputed. It suggests adding fundamental filters such as valuation or dividend measures, but does not define a validated combined model. The screen is a starting specification, not evidence of a robust strategy.

Key ideas

• The screen combines an amplitude threshold, a current control measure, and a MACD reading from two days earlier.
• The post supplies examples of combining the conditions into a stock selection rule.
• It gives no backtest or trading results to support profitability.
• The author notes concerns about the limited factors, MACD applicability, and interpretation of the control measure.
• Fundamental filters are suggested as possible additions but are not tested.

Tags

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