A Chinese Stock Screen Using Price Decline, Range, and Five-Year ROE

Summary

This Chinese stock-selection note proposes filtering for shares with price amplitude above 1, a daily maximum decline between 4% and 5%, and return on equity above 15% in each of the past five years. It combines a short-term price condition with a multi-year profitability measure, using sustained ROE as a rough indicator of business quality. The document includes illustrative indicator logic and a sample screening workflow, but provides no backtest or measured investment results for the screen.

The author notes that relying heavily on ROE can misclassify companies and that price movement and other market conditions may be inadequately represented. Suggested refinements include examining earnings per share, net profit, revenue, industry context, and market trends. These are recommendations rather than evaluated additions. The screen offers no portfolio construction, entry or exit rules, or risk management framework, so it should be understood as a candidate-generation idea rather than a complete trading strategy.

Key ideas

• The proposed screen combines amplitude above 1 with a daily decline between 4% and 5%.
• It requires ROE above 15% for each of five consecutive years.
• The note presents ROE as a profitability reference, not a complete measure of investment quality.
• It suggests adding other financial and market factors but reports no tests of those refinements.

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