Chinese Stock Screen Combining Price Range, ROE, and Float Size

Summary

This note describes a Chinese stock selection screen that combines a daily price-range condition, five consecutive years of return on equity above 15%, and a limit on tradable share count. It presents the range condition as a measure of volatility, the ROE threshold as a profitability filter, and the float limit as a liquidity consideration. The author then suggests broadening the float threshold and adding valuation measures or machine-learning methods.

The document gives example indicator and Python snippets, but they contain placeholders and apparent inconsistencies: the prose specifies a range greater than 1, while the sample logic uses a high-low difference threshold, and the stated five-year ROE requirement is not clearly enforced by the formula. It supplies no backtest, performance figures, or validation evidence. The final suggested screen also changes the float ceiling from 55 to 70 hundred million shares, so the proposal should be treated as an illustrative screening idea rather than a tested strategy.

Key ideas

• The proposed screen combines price movement, sustained profitability, and tradable share count.
• It uses five consecutive years of ROE above 15% as a fundamental quality filter.
• The author suggests broadening the float limit and incorporating additional valuation or modeling inputs.
• The examples do not clearly implement every stated condition and include placeholder logic.
• No performance test or empirical evidence is provided.

Tags

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