A ROE and Bollinger Band Screen for Equities

Summary

This note describes an equity screen that combines daily price movement with company profitability and a Bollinger Band condition. It seeks stocks with an amplitude above 1, return on equity above 15% for five consecutive years, and a close between the band’s middle and upper lines. The document explains ROE as a measure of operating performance and interprets the price filters as signs of trading interest and trend behavior.

The article gives example formula and Python-style implementations, but these contain placeholders and inconsistencies, so they are not a reliable ready-to-run strategy. It provides no backtest results or evidence that the screen earns returns. Its own caveats are that the rules are simple, may overlook sound but unpopular companies, and that Bollinger Bands do not establish fundamental value. It suggests adding financial, market, and industry-specific measures, but does not test those additions.

Key ideas

• The screen combines price amplitude, sustained ROE, and a close in the upper half of the Bollinger Band range.
• The article interprets sustained profitability as a quality signal and the price filters as indicators of market interest.
• The sample formulas include placeholders and should not be treated as validated implementations.
• The document warns that a small set of indicators can miss important company and market context.

Tags

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