Chinese Equity Screen Combining Profitability, Price Limits, and Range

Summary

This Chinese equity screen combines three conditions: daily price amplitude of at least one unit, return on equity above 15% for five consecutive years, and at least two limit-up occurrences within 500 days. The accompanying rationale treats persistent profitability as a quality filter and repeated limit-ups as signs of market attention or trend, while the amplitude condition selects more active shares. The post includes formula and Python examples for assembling the filters.

The author identifies key weaknesses: the screen relies on historical limit-up events that may not reflect current conditions, can capture stocks lifted by transient news, and omits valuation. Suggested refinements include adding technical measures, valuation, safety margin, and trading volume. No backtest, universe definition, transaction-cost analysis, or return evidence is given, and the code examples do not establish that the conditions are calculated consistently across markets or data sources. Treat it as a screening idea requiring careful data checks and evaluation.

Key ideas

• The screen requires amplitude of at least one, five years of ROE above 15%, and two or more limit-ups in 500 days.
• The rationale combines profitability with historical price activity and market attention.
• The author warns that historical limit-up events can be noisy or stale signals.
• Valuation and other measures such as volume or technical indicators are proposed as additional filters.
• The post supplies example formulas but no backtest or performance evidence.

Tags

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