Chinese Stock Screen Using ROE, Daily Range, and a Price Level

Summary

This note describes a Chinese equity screen combining a daily high-low range of at least one unit, return on equity above 15% for five consecutive years, and a share price around 18.5 yuan. It suggests that the ROE condition is intended to favor companies with sustained profitability, while the price and range conditions narrow the candidates. Example formulas and Python-like snippets are included, though parts of the examples contain placeholders or inconsistent logic and should not be treated as a complete implementation.

The note flags that a fixed price level may leave too few stocks for diversification and that other relevant company factors are omitted. It proposes using a price band and adding measures such as financial stability and market value. No backtest results or evidence of predictive performance are provided, so the screen is a proposed filtering idea rather than a validated strategy.

Key ideas

• The screen combines a daily trading range threshold with sustained high ROE and a share-price condition.
• The stated ROE filter requires more than 15% ROE across five years.
• A single fixed share-price level may sharply reduce the candidate pool and weaken diversification.
• The examples contain placeholders and inconsistencies, so implementation details need independent verification.
• The note provides no performance test showing that the screening rules produce excess returns.

Tags

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