Chinese Equity Screen Using ROE, Profit Growth, and Daily Range
Summary
The document describes a stock selection rule combining daily price range with profitability and earnings growth. It first screens for a high-low range of at least one unit, then requires return on equity to exceed 15% for five consecutive years, and finally selects companies whose year-over-year net profit growth attributable to parent shareholders is above 20% and no more than 100%. It presents the rule as a blend of price behavior, business quality, and growth characteristics.
The post gives indicator and Python examples for implementing the filters, but the examples appear inconsistent with the stated rule: the Python example uses an all-history ROE condition and a field named for ROE growth, while the prose specifies five years of ROE and parent-company net profit growth. It offers no backtest, return data, or validation. The author cautions that historical fundamentals may not anticipate market conditions and suggests adding technical signals, market context, and position-level risk controls.
Key ideas
- The screen requires a daily high-low range of at least one price unit.
- It selects stocks with ROE above 15% in each of five consecutive years.
- It limits parent-attributable net profit growth to above 20% and at most 100% year over year.
- The document provides implementation examples but does not report backtest evidence.
- Its examples may not implement the prose criteria consistently.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.