Chinese Stock Screening with ROE, Price Gains, and Daily Range

Summary

This note describes an A-share screening rule combining a daily high-low range threshold, return on equity above 15% in each of the prior five years, and a positive change from the previous close. It presents the criteria as a way to find consistently profitable companies with positive recent price movement. It also suggests adding a growth measure such as PEG and adjusting return expectations by industry.

The document includes example indicator formulas and Python code, but offers no backtest, performance statistics, or validation of the data fields. Its rationale is qualitative: stable profitability and positive returns may help avoid some speculative swings. The screen may exclude companies with strong growth prospects but weak recent returns, and its stated criteria alone do not establish future performance. The examples also contain ambiguous or inconsistent implementation details, so the screening conditions need careful verification before use.

Key ideas

• The screen combines daily price range, five years of ROE above 15%, and a positive close-to-close move.
• It frames persistent ROE as a way to identify stable profitability.
• The author suggests evaluating future growth and using industry-specific return thresholds.
• No empirical performance evidence is supplied, and the sample implementations require verification.

Tags

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