A Stock Screen Combining Amplitude, Auction Volume, and Five-Year ROE

Summary

This stock-selection proposal combines a price-amplitude filter with a turnover and auction-volume condition, then requires return on equity (ROE) to exceed a stated threshold over five years. The central liquidity-style condition is yesterday's turnover multiplied by today's auction volume divided by yesterday's volume, constrained to a stated range. The rationale is to seek stocks with both short-term activity and a record of profitability. The note also suggests adding net-profit growth and dividend yield when refining the screen.

The document lists risks including reliance on ROE alone, possible industry concentration, and dependence on historical data without broader market context. It offers no performance or validation results. Its formula description and sample code also appear inconsistent: the code uses a market-wide turnover ratio in its condition rather than the stated auction-volume ratio, and its implementation details do not clearly match the prose filters. Treat the screen as an informal hypothesis; verify the data fields and definitions and test the rules before use.

Key ideas

• The proposed screen combines price amplitude, a turnover and auction-volume ratio, and a five-year ROE requirement.
• The stated liquidity condition constrains the turnover-adjusted auction-volume ratio to a specified range.
• The author suggests adding net-profit growth and dividend yield as further profitability measures.
• The note flags ROE limitations, industry concentration, and reliance on historical data.
• The sample code's turnover calculation differs from the ratio described in the prose, and no performance evidence is supplied.

Tags

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