A Stock Screen Combining Five-Year ROE, Price Range, and Auction Turnover

Summary

This post describes a Chinese equity screen combining an intraday high-low range above 1, return on equity above 15% for five consecutive years, and prior-day auction turnover above 0.26. The intended mix is a price-activity condition, a multiyear profitability filter, and a measure of trading participation. The document gives indicator formula references and sample Python logic to show how the conditions might be combined into a selection rule.

The post does not provide a backtest, selected-stock examples, or evidence that the screen improves returns. It acknowledges that auction turnover can be influenced by the broader market and may misstate stock-specific interest; it also notes that other relevant indicators are excluded. The formula and code examples do not describe every measure identically, including how the range and ROE conditions are calculated, so implementations require verification. Treat this as a screening idea rather than a tested investment strategy.

Key ideas

• The proposed screen requires an intraday price range above 1 and ROE above 15% for five consecutive years.
• It also requires prior-day auction turnover above 0.26.
• The selection rule combines price activity, company profitability, and trading participation.
• The post provides example formulas and code but no empirical performance evidence.
• Auction turnover may reflect broad market conditions, and the examples need verification against the written criteria.

Tags

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