Chinese Stock Screen Combining ROE, Price Range, and Trading Activity

Summary

This proposed Chinese equity screen combines three filters: daily high-low range above 1, return on equity above 15% in each of five years, and a turnover-weighted ratio of current auction volume to prior-day volume between 0.5 and 2. It is intended to pair a record of profitability with price movement and current trading interest. The article also gives example formula and Python implementations, though their calculations do not consistently match the prose description.

The discussion recommends adding broader fundamental checks and comparing companies within relevant industries. It mentions machine-learning as a possible way to combine signals, but presents no backtest, performance evidence, or validation. The author flags sensitivity to market changes, weak assessment of long-term business quality, and cross-industry differences in trading scale. Treat the thresholds as an unvalidated screening idea; the article does not establish that the selected shares offer attractive returns.

Key ideas

• The screen requires five consecutive years of ROE above 15%.
• It combines price range with a turnover and auction-volume condition bounded between 0.5 and 2.
• The article advises adding fundamental checks and comparing firms within relevant industries.
• No historical performance evidence is provided, and the example implementations may not exactly encode the written conditions.

Tags

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