Chinese Stock Screening with Price Range, Limit-Ups, and ROE

Summary

The proposed Chinese-equity screen combines a daily price-range condition, at least two limit-up events over a recent 500-day window, and return on equity above 15% in each of the past five years. It frames the conditions as a blend of price behavior and business quality, aiming to identify companies with strong historical profitability alongside notable price movement. The article provides formula references and a Python example intended to retrieve stock and financial data and filter a stock universe.

The rationale is descriptive; no selected stocks, backtest, benchmark, or return and risk statistics are reported. The author cautions that past ROE may not persist and that the technical filters are simple, suggesting further valuation, growth, and indicator analysis. The code is labeled as a reference and has potential alignment and data-handling issues, so the screening logic would need verification against reliable historical data before research or use. These filters identify candidates, not evidence of future outperformance.

Key ideas

• The screen combines a daily price-range threshold with repeated limit-up events and sustained historical ROE.
• Its fundamental condition requires ROE above 15% for five consecutive years.
• The article provides formula references and sample code for filtering Chinese stocks.
• The rationale combines historical profitability with price behavior but reports no performance evaluation.
• Past ROE may not persist, and the simple technical filters may need refinement and validation.

Tags

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