Chinese A-Share Screening with Turnover, Limit-Down Matching, and ROE

Summary

The document presents a Chinese A-share stock screen combining market activity, a prior session’s 9:15 matching price at the limit-down level, and profitability history. It first describes conditions of amplitude above 1 and ROE above 15% for five consecutive years, then gives a final version that also requires price-to-earnings below 50. It provides reference formulas and a Python sketch for filtering stocks, with a suggested ranking by popularity.

The rationale is to use ROE as a measure of profitability while adding a technical market condition. The note cautions that ROE may not suit every industry, can lag share-price movements, and excludes young companies without five years of history. It suggests considering other valuation measures, market conditions, sector rotation, and a less restrictive ROE threshold. No backtest, outcome statistics, or precise evaluation of the screen is included, and the code is labeled as illustrative, so the criteria require implementation checks and independent validation.

Key ideas

• The screen combines amplitude, a previous 9:15 match-price limit-down condition, and five years of ROE above 15%.
• The final selection logic adds a price-to-earnings ceiling below 50.
• ROE can be less informative for some industries and may lag price changes.
• A five-year profitability requirement can exclude younger companies.
• The note suggests adapting fundamentals and technical criteria to industry and market conditions, but reports no performance tests.

Tags

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