Chinese Stock Screen Combining Daily Range, Recent Limit-Ups, and ROE

Summary

The post describes a Chinese A-share screening rule that combines a daily price-range threshold, at least one limit-up event in the prior 25 trading days, and return on equity above 15% for five consecutive years. It presents the conditions as a way to find volatile stocks with recent strong price action and sustained profitability. The rule is intended to create a watchlist for possible investment, rather than to define a complete entry and exit strategy.

The document includes example indicator and Python implementations, plus suggestions to add valuation and technical measures, industry analysis, management assessment, and position sizing. It warns that historical conditions may not predict future returns and that high ROE alone does not establish business quality. The examples also leave important implementation details unclear, including data availability and the precise handling of annual ROE and limit-up rules. No backtest results, transaction-cost analysis, or evidence of out-of-sample performance are provided, so the screen's effectiveness is unestablished.

Key ideas

• The screen requires a daily high-low range greater than one percent and a limit-up event within the previous 25 trading days.
• It also requires ROE above 15% for five consecutive years.
• The post offers indicator and Python examples for applying the conditions.
• It recommends adding other financial, technical, and industry criteria before investing.
• The document reports no performance test and cautions that historical signals may not predict future returns.

Tags

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