A-Share Screen Combining Five-Year ROE, Daily Range, and Flow

Summary

This A-share screen combines a daily high-low range of at least one, return on equity above 15% in each of five consecutive years, and a proxy for recent large-investor control or buying pressure. The article presents the range condition as a way to identify more active stocks and the ROE filter as a measure of sustained profitability. It describes the flow condition as a short-term indicator that may point to future price strength.

The article provides sample indicator and Python logic using price, volume, and a volume-price measure to approximate the flow condition. It also acknowledges that this short-term signal may be noisy, can be affected by policy changes, and does not establish a durable trend. The logic is a screening proposal, not a complete trading strategy: it gives no backtest, portfolio rules, or evidence that the flow proxy reliably captures investor control. It suggests adding other fundamental and market criteria, but does not test those refinements.

Key ideas

• The screen requires a daily high-low range of at least one and five consecutive years of ROE above 15%.
• A price-volume measure is used as a proxy for recent large-investor activity.
• The article identifies the flow signal as short term and potentially random.
• The sample logic does not establish that its proxy reliably measures investor control.
• No backtest or trading performance evidence is provided.

Tags

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