A-Share Screen Combining Moving-Average Crosses, Price Range, and ROE

Summary

This proposed A-share screen combines a price-amplitude condition, simultaneous crossings among three moving averages, and return on equity above 15% in each of five consecutive years. It presents the ROE filter as a way to favor companies with sustained profitability alongside a technical entry signal. The article also gives example indicator formulas and Python-style selection logic, but it does not report a backtest, returns, or evidence that the combined screen is effective.

The author cautions that the rules omit important company and market factors, including earnings growth, business models, industry direction, and broader market conditions. The examples should be treated as references rather than verified implementations: the supplied Python uses rolling averages of ROE, which is not the same as requiring every individual year to exceed the threshold. Further fundamental and quantitative filters are suggested, but no tested refinements are supplied.

Key ideas

• The screen combines price amplitude, moving-average crossovers, and a five-year ROE threshold.
• The stated profitability condition requires ROE above 15% in each of five consecutive years.
• The article provides formula and code examples but reports no performance evidence.
• Company fundamentals and market risks beyond ROE are not addressed by the selection rules.

Tags

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