Stock Screening with Price Range, Positive MACD, and Turnover Filters

Summary

This document proposes selecting stocks whose daily price amplitude exceeds 1%, whose MACD is above zero, and whose previous-day actual turnover falls between 3% and 28%. It describes amplitude as a measure of price movement, MACD as a trend reference, and turnover as an indication of market activity. Formula and Python examples are included to illustrate how the criteria might be combined.

The examples are not fully consistent: the written threshold is amplitude greater than 1%, while the Python mask uses 0.01 against a ratio, which represents a different scale than 1% unless the inputs are adjusted. The turnover calculation and MACD crossing logic also merit validation against the intended data definitions. The author acknowledges that technical and activity measures omit fundamentals and proposes adding financial or industry factors, potentially with weights. No backtest or performance evidence is provided, so the screen's predictive value remains untested.

Key ideas

• The screen combines amplitude above 1%, MACD above zero, and prior-day actual turnover between 3% and 28%.
• Amplitude, MACD, and turnover are used as proxies for price movement, trend, and trading activity.
• The formula and Python examples appear to use differing threshold conventions and should be checked before implementation.
• The document recommends adding company and industry information to address the screen's narrow technical focus.
• No performance evaluation is presented to establish whether the filters produce an advantage.

Tags

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