A-Share Screen for High ROE, Low Risk Status, and Five-Day Limit Moves

Summary

This A-share stock screen combines daily amplitude above 1, return on equity above 15% for five consecutive years, non-ST status, and selection before 10 a.m. It also invokes a five-part limit-up rule intended to classify price and return behavior after a sequence of limit-up sessions and identify candidates with further upside potential.

The document sketches formula and Python implementations, including thresholds based on recent closes and whether prices advance across the sequence. It presents the approach as a way to find active stocks and potential hot sectors, but supplies no backtest, performance statistics, or evidence that the screen predicts future gains. The rule's description and code are not fully aligned: the narrative refers to five consecutive limit-up days, while the Python function accepts some cases with positive returns and applies different cumulative price thresholds. The article itself flags lag, omitted indicators, and a potentially small candidate set, and suggests testing additional indicators and loosening filters as appropriate.

Key ideas

• The screen requires amplitude above 1 and ROE above 15% across five years.
• It excludes ST stocks and limits selection to before 10 a.m.
• A five-part limit-up rule classifies recent price behavior to select potential continuation candidates.
• The document gives formula and Python examples but no performance evidence.
• The rule may lag fast market changes and its strict filters may leave few candidates.

Tags

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