Annual Stock Screening with MACD, Positive P/E, and Five-Year ROE

Summary

This document describes an annual year-end screen for Chinese equities. It combines a positive MACD reading, positive trailing P/E, and ROE above 15% in each of the prior five years. The stated rationale is to pair a trend signal with positive earnings valuation and a record of profitability. It provides indicator definitions and example screening logic, including quarterly ROE values grouped into annual averages. The article also suggests ranking qualifying stocks by market capitalization, though it does not present performance results or a backtest.

The screen has clear limitations. Its own discussion notes that historical ROE may lag current conditions, financial data may be inaccurate, and the criteria may not fit the prevailing market. A positive MACD or P/E does not establish future returns or fair value. The examples also contain implementation details that may not match the prose exactly, so the screening thresholds and data conventions should be checked before use. The article suggests adding other indicators or financial measures, but does not test those variations.

Key ideas

• The screen selects stocks at year end using positive MACD, positive P/E, and five consecutive years of ROE above 15%.
• The article interprets MACD above zero as a sign of current strength and the profitability filter as evidence of sustained earnings quality.
• It demonstrates calculating annual ROE averages from quarterly observations.
• It identifies stale financial information, data quality, and market regime changes as risks.
• No backtest or measured returns are provided.

Tags

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