Chinese Stock Screen Combining Volatility, ROE, and Recent Returns
Summary
The screen combines a price-range condition with a quality filter and a short-term momentum filter. It seeks stocks with amplitude above one, return on equity above 15% in each of five consecutive years, and a positive ten-day return below 35%. The document frames the range condition as a way to find more volatile shares, the ROE history as evidence of sustained profitability, and the return band as a way to avoid both declining and sharply extended stocks.
The post gives illustrative indicator and Python snippets, but they are incomplete and contain ambiguous or inconsistent details: the amplitude threshold is not clearly defined as an absolute move or a percentage, and the sample code references unspecified volatility inputs. It reports no backtest, return, or risk-adjusted evidence. The author notes that a single return measure can miss volume and price behavior, historical ROE does not capture all company risks, and the thresholds may behave poorly in stressed markets. Valuation and other technical measures are suggested as possible additions.
Key ideas
- The screen requires amplitude above one and ROE above 15% for five consecutive years.
- It selects stocks with positive ten-day returns below 35%.
- The post suggests supplementing the rules with valuation and volume-related measures.
- It provides no performance evidence, and its example implementation leaves some inputs undefined.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.