Chinese Equity Screen Combining ROE, Price Range, and Turnover

Summary

This Chinese-language post outlines an equity screen that combines daily price range, five years of return on equity above 15%, and prior-day actual turnover between 3% and 28%. It presents the mix as a way to select shares with price movement, sustained profitability, and trading activity. The post then proposes adding large-trade share and a MACD condition, alongside a turnover-rate ceiling, and shows example formulas for implementing the filters.

The article offers no historical test results or evidence that the criteria produce excess returns. It identifies several limitations: past data may not predict future performance, ROE can be less informative for newer or persistently loss-making businesses, and actual turnover may be manipulated. It suggests adding other technical, financial, and liquidity measures, or comparing turnover with its own historical average. The final proposed criteria also include both actual turnover in a 3%–28% range and turnover below 5%, which may substantially narrow the eligible set; the post does not explain how these measures or thresholds should be reconciled.

Key ideas

• The initial screen combines a daily price-range threshold, five consecutive years of ROE above 15%, and prior-day actual turnover from 3% to 28%.
• The proposed expanded screen adds a large-trade ratio threshold and a MACD condition.
• The post flags that historical profitability and turnover measures can be misleading or manipulated.
• It recommends adding other financial and liquidity measures, including comparison with average turnover.
• No backtest or performance evidence is provided, and the final turnover filters may conflict in practice.

Tags

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