A-Share Screen for Persistent ROE, Convertible Bonds, and Price Range

Summary

This A-share screening recipe combines three conditions: daily price amplitude above 1%, a nonempty name for an outstanding convertible bond, and return on equity above 15% for five consecutive years. It is intended to pair a price-movement filter with a record of sustained profitability. The document includes example screening logic and a data workflow that checks company and bond records, financial indicators, and daily prices.

The note cautions that ROE alone can miss other dimensions of business performance, while the amplitude threshold captures price movement without explaining its cause. It recommends adding measures such as margins and valuation ratios, along with other technical indicators. The article supplies no backtest, selected-stock examples, or evidence of returns; therefore, the rules are a proposed screen, not a validated investment strategy. Its example data procedures also contain assumptions that would need checking before use, including how the bond and five-year financial conditions are represented.

Key ideas

• The screen requires price amplitude above 1%, an outstanding convertible bond with a nonempty name, and ROE above 15% for five years.
• The design combines a price-range condition with a historical profitability filter.
• The article warns that ROE alone does not fully describe company quality.
• Price amplitude does not account for macroeconomic or company-specific reasons for volatility.
• No backtest or return evidence is presented, and the example implementation requires validation.

Tags

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