Chinese Stock Screen Using Five-Year ROE, Price Range, and Trading Value

Summary

This Chinese equity screen selects stocks with a daily high-low range of at least one price unit, return on equity above 15% in each of the previous five years, and prior-day trading value above 60 million. The rationale is to combine price movement, sustained profitability, and market activity. The article includes example indicator formulas and Python-style screening logic, although the code’s definitions and data handling may not align cleanly with the stated daily and historical conditions.

The article identifies several limitations: the screen omits other technical and company-specific factors, the trading-value threshold may leave few candidates, and it does not account for macroeconomic or industry conditions. It suggests adding other indicators and adjusting the liquidity threshold to the portfolio. No backtest, candidate count, or performance evidence is reported. The conditions are therefore a screening proposal, not evidence of a profitable strategy; the amplitude unit and the source and timing of historical ROE data also need to be specified for reproducible use.

Key ideas

• The screen requires a daily high-low range of at least one price unit, five consecutive years of ROE above 15%, and prior-day trading value above 60 million.
• The proposed rationale combines price movement, persistent profitability, and trading activity.
• The article notes that a high trading-value threshold may sharply reduce the number of eligible stocks.
• It recommends incorporating technical, industry, and macroeconomic information and adapting the liquidity threshold to the portfolio.
• No backtest or performance results are supplied, and some implementation details remain ambiguous.

Tags

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