Stock Screening with Weekly MACD, Daily Range, and Auction Return

Summary

This post proposes an equity screen using three conditions: daily amplitude above 1%, weekly MACD above zero, and an opening-auction return between -2% and 5%. It interprets the daily range and auction move as signs of market activity and sentiment, while the weekly MACD condition is intended to select stocks with positive trend or momentum. The post includes indicator formula references and sample data-processing logic, but the code's MACD and weekly trend checks do not clearly implement the stated MACD rule.

The document offers a rationale for the filters, not evidence of predictive performance: it reports no backtest results, trade returns, or comparison with a benchmark. It also acknowledges that the screen omits company fundamentals and does not account for unpredictable market risk. It recommends adding other technical and capital-flow inputs, fundamental information, and risk controls such as stop-loss rules, while adapting the thresholds and selection timing to market conditions. These are general suggestions rather than tested improvements.

Key ideas

• The screen requires daily amplitude above 1%, weekly MACD above zero, and an opening-auction return between -2% and 5%.
• The author uses the daily range and auction move as activity and sentiment filters.
• Weekly MACD is intended to identify positive trend or momentum.
• The post supplies formulas and sample code but no reported backtest or trading results.
• The screen omits fundamentals and requires additional risk controls and validation.

Tags

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