Chinese Stock Screen Using Turnover, Recent Limit-Ups, and ROE

Summary

This document describes a Chinese equity screening rule that combines turnover between 3% and 12%, at least one limit-up move in the prior 25 days, and return on equity above 15% for five consecutive years. It frames the conditions as a way to find actively traded companies with a record of profitability. The page includes example indicator logic and a Python sketch that filters a stock list, checks financial data, and inspects price bars.

The article cautions that ROE alone does not capture a company’s full financial condition and suggests considering other financial measures, industry context, market conditions, or additional factors such as market capitalization and PEG. It also mentions stock-market and execution risks. The excerpt offers no historical returns, benchmark comparison, or evidence that the screen predicts future performance. Its sample implementation and screening conditions should be treated as an illustrative filter, with data definitions and timing requiring verification before use.

Key ideas

• The screen requires turnover in a specified band and a recent limit-up event.
• It also requires ROE above a stated threshold across five consecutive years.
• The article warns that ROE alone is an incomplete measure of company quality.
• It suggests adding valuation or size factors and considering industry and market conditions.
• No performance study is provided to show that the screening rules generate excess returns.

Tags

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