Chinese Stock Screen Combining Five-Year ROE and Auction Returns

Summary

This Chinese stock-screening note combines a daily price-range condition with persistent profitability and a pre-open auction return filter. Its initial criteria are a price range of at least one unit, ROE above 15% for five consecutive years, and an auction move between -2% and 5%. It then proposes adding valuation limits of PE no higher than 50 and PB no higher than 5, and shows example implementations in indicator and Python-like syntax.

The note explains that the screen mixes price behavior, market sentiment, and company fundamentals. It cautions that auction returns can be noisy, short-term volatility may distract from longer-term prospects, and data errors can affect results. It suggests considering growth and return-on-invested-capital measures and adjusting criteria to market conditions. No backtest, performance evidence, trading rules for entries or exits, or risk controls are provided. The example code also differs in places from the written specification, so users would need to verify how the ROE and range conditions are calculated before applying it.

Key ideas

• The screen combines a daily range threshold, five years of strong ROE, and an auction return band.
• The proposed refinement adds maximum PE and PB limits.
• The note identifies auction data noise and short-term focus as risks.
• It provides illustrative code but reports no backtest or investment performance.

Tags

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