Chinese Stock Screen Combining Amplitude, Volume Ratio, and ROE

Summary

This Chinese-language post outlines a stock selection rule using price amplitude, relative trading volume, and return on equity. It specifies amplitude above 1%, a volume ratio between 1.5 and 6, and ROE above 15% in each of the past five years. The intended rationale is to find stocks with some price movement and trading activity while requiring a sustained record of profitability. The post includes sample indicator and Python logic for expressing the filters.

The author cautions that historical ROE does not establish future prospects and that macroeconomic, industry, and liquidity conditions are omitted. Suggested refinements include adding valuation measures, considering broader market context, and adapting thresholds to market conditions. The post supplies no backtest, portfolio construction rules, trading costs, or performance evidence. Its example code also uses data fields and calculations that may not match the described volume-ratio or five-year ROE definitions exactly, so implementation requires checking the data semantics and signal timing before use.

Key ideas

• The screen requires amplitude above 1%, volume ratio from 1.5 to 6, and ROE above 15% for five consecutive years.
• The proposed combination seeks active trading alongside a persistent history of profitability.
• The author warns that past ROE does not indicate future company prospects.
• Macroeconomic, industry, and liquidity conditions are absent from the stated selection logic.
• The post gives no backtest or evidence that the screen produces positive returns.

Tags

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