Chinese Stock Screen Combining ROE, Price Range, and DEA Momentum

Summary

This Chinese-market stock screen combines a price-range condition, sustained profitability, and a rising technical signal. Its stated selection logic looks for price amplitude above a threshold, return on equity above 15% in each of five consecutive years, and an upward move in the DEA component of MACD. The article’s proposed refinement also adds a one-month DEA rise and a capital-strength ranking filter. It provides example formula and Python-style implementations, though the examples appear inconsistent in places with the written rules, including the treatment of the ROE threshold and DEA crossing condition.

The rationale is to pair a volatility filter with a profitability screen and a momentum confirmation. The author cautions that rising DEA can miss other technical factors, historical ROE does not ensure future profitability, and short-term price measures may encourage a narrow view. Suggested improvements include broader fundamental analysis, additional indicators, and checking whether the chosen measures remain reliable over longer periods. No backtest, portfolio construction method, or realized performance evidence is reported.

Key ideas

• The screen combines price amplitude, five years of high ROE, and rising DEA.
• A proposed refinement adds a one-month DEA trend and a capital-strength filter.
• The article warns that past ROE may not persist and short-term signals can be unreliable.
• The sample implementations appear not to match every stated screening condition exactly.
• No backtest or realized investment performance is presented.

Tags

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