Chinese Stock Screen Combining ROE, Price Limits, and Momentum Filters

Summary

This document proposes a Chinese stock screen based on daily price range, a record of strong return on equity, and a prior-session opening auction price at the lower price limit. The initial conditions specify a range greater than one, ROE above 15% for five consecutive years, and the previous day’s 9:15 matching price at limit down. An expanded version adds a low RSI reading and a KDJ relationship intended to identify a possible rebound setup.

The article argues that the combination mixes company profitability with recent volatility and market activity. It flags that a limit-down auction price may have causes unrelated to fundamentals and that the basic screen omits other relevant factors. It suggests additional fundamental and technical filters. The document includes example formulas and code, but provides no backtest, sample results, or evidence for the claim of stability. The exact data definitions and implementation of auction prices and indicators would need checking before the conditions could be evaluated or used.

Key ideas

• The proposed screen combines daily price range, sustained high ROE, and a previous-session limit-down auction condition.
• The expanded rules add RSI and KDJ filters to seek a potential rebound configuration.
• The article notes that an auction limit-down reading may not reflect company fundamentals.
• Additional fundamental and technical indicators are suggested as possible filters.
• No empirical performance evidence is given, and the example calculations require validation.

Tags

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