It seems that I added the incorrect backtest. I am running a new one to attach it here.

This is the one.

Your volume for the last period is the volume for the minute - not the day as you expect. Which will never be greater than the average daily volume.
Try this:

import talib  
import numpy

macdShort = 12; macdLong = 26; macdSignal = 9  
volMAPeriods = 20

def initialize(context):  
    set_symbol_lookup_date('2013-01-01')  
    context.stocks    = symbols('DD', 'MRK', 'KO', 'MMM')  
    context.init_cash = context.portfolio.cash  
    schedule_function(func=HandleDataScheduled,  
                      date_rule=date_rules.every_day(),  
                      time_rule=time_rules.market_open(hours=0, minutes=1))

def handle_data(context, data):  
    pass

def HandleDataScheduled(context, data):  
    # Historical data for the stocks  
    prices  = history(macdLong + macdSignal + 1, '1d', 'close_price')  
    volumes = history(volMAPeriods + 1, '1d', 'volume').ffill().bfill()  
    eligibleStocks = []  
    inEligibleStocks = []

    for stock in context.stocks:  
        closes = numpy.array(prices[stock].values.tolist())  
        macdIndicator  = talib.MACD(closes, macdShort, macdLong, macdSignal)  
        macd   = macdIndicator[0][-1]  
        signal = macdIndicator[1][-1]  
        currentPosition = context.portfolio.positions[stock].amount  
        stockVolumes    = volumes[stock].values.tolist()[0:-1]  
        stockVolume     = stockVolumes[-1]  
        volEMA          = talib.EMA(numpy.array(stockVolumes), timeperiod = volMAPeriods)[-1] 

        ### New or continuation signal  
        if (macd < signal and stockVolume > volEMA):  
            eligibleStocks.append(stock)  
        ### Exit signal  
        elif (macd > signal  and currentPosition > 0 and stockVolume > volEMA):  
            inEligibleStocks.append(stock)  
        ### Maintain position  
        elif (currentPosition > 0):  
            eligibleStocks.append(stock)

    eligibleCount = float(len(eligibleStocks))  
    for stock in eligibleStocks:  
        order_target_percent(stock, 1.0 / eligibleCount)  
    for stock in inEligibleStocks:  
        order_target(stock, 0)

    record(Leverage = context.account.leverage, Cash = context.portfolio.cash)  

Oh wow! that's very very nice.

I see you grouped together the logic for the triggers.

What I don't understand quite fully is:

macdLong + macdSignal + 1
volMAPeriods + 1

why the +1?

On my code I was passing 40 as it should be the last 40 days. Here you are passing the 26 + 9 (macd params) so it gives 38 +1, so 39. Does that mean the last (or first) day is not included/needed? and why volMA periods is 21? I'm guessing ~40 /2, or is there anything else I'm not seeing?

Thanks a lot! it really was a nice cleanup. Very cool indeed!

@Akram, "+1" is a habit of mine. Ensuring that there's always enough data in the collection from which to drive the indicator calculations. Period over period metrics usually need periods+1 to calculate. Change it at your will.

FYI, change this "market_open" to "market_close" to get a nearer approximation to daily returns when running minutely. At least, that was my experience. Matching daily to minutely returns seems to be somewhat of a crap shoot. Maybe others have knowledge of how to reconcile the returns of the two periodicities.

Maybe taking the average of the open and close prices? I'll fiddle a bit with that param and see hot does the performance change. Thanks again!