Chinese Stock Screen Combining Trading Activity and Five-Year ROE

Summary

This Chinese equity screen combines a daily amplitude threshold and a measure called today’s control level with return on equity above 15% in each of the past five years. Its proposed expanded version adds a dividend yield above the market average, positive year-over-year growth in main-business revenue, and positive free cash flow. The article provides formula and Python references for implementing these filters, although some formula details and data definitions are not fully explained.

The rationale is to pair market activity with sustained profitability and cash generation. The discussion cautions that historical ROE may not persist, high profitability can coincide with elevated valuation, and company results can weaken with economic conditions. It suggests considering valuation ratios, sector and macro conditions, other financial measures, risk controls, and waiting until financial statements are published. No historical test or return evidence is provided, so the criteria are presented as a screening concept rather than a validated strategy.

Key ideas

• The initial screen combines amplitude, a control-level measure, and ROE above 15% for five consecutive years.
• The expanded criteria add above-market dividend yield, positive revenue growth, and positive free cash flow.
• The article warns that sustained historical ROE does not guarantee future profitability.
• Valuation, industry conditions, macroeconomic changes, and reporting timing are identified as relevant considerations.
• No backtest results or evidence of investment performance are supplied.

Tags

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