Chinese Stock Screen Using Price Strength and Persistent ROE

Summary

The document describes a Chinese equity screen that combines recent price behavior with company profitability. It selects stocks with an amplitude threshold, positive but capped 10-day returns, and return on equity above 15% for five consecutive years. The accompanying rationale treats price movement as a short-term strength filter and persistent ROE as a measure of profitability and management quality.

The article also sketches moving-average conditions and presents example screening logic, then recommends adding technical analysis, adjusting for industry differences, diversifying, and applying stop-losses. It provides no backtest, benchmark comparison, or evidence that the filters predict returns. Its examples are not fully consistent: the prose specifies a 10-day return range, while the sample code uses different price conditions and a one-year data window. The screen should therefore be treated as an outline requiring validation and careful implementation.

Key ideas

• The screen combines short-term price movement with a five-year ROE persistence filter.
• The stated ROE threshold is above 15% in each of five consecutive years.
• The article proposes moving-average conditions as an additional technical filter.
• It advises diversification and risk controls but supplies no performance test.
• The written criteria and sample implementation do not fully match.

Tags

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