Chinese Stock Screen Combining Price Range, Five-Year ROE, and Beverage Industry

Summary

This post describes a Chinese stock screening rule that combines a daily high-low price range of at least one unit, return on equity above 15% in each of the past five years, and membership in the beverage and alcohol import-export industry. It outlines the intended mix of a short-term price activity filter with a profitability screen and an industry classification, and gives example implementations for a charting platform and Python.

The post identifies policy exposure in the industry, the possibility that past ROE will not persist, and the short horizon represented by the price range. It suggests refining industry classifications, assessing governance, and incorporating multiple factors. It does not present backtest results or evidence that the screen predicts returns. The example implementations also differ in their handling of the threshold and historical ROE data, so the selection rule would need careful data validation before use.

Key ideas

• The screen requires a high-low price range of at least one unit.
• It selects companies with ROE above 15% in each of five years.
• It restricts candidates to the beverage and alcohol import-export industry.
• The post flags sector policy exposure, nonpersistent profitability, and short-term signal risk.
• No performance evaluation is provided.

Tags

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