Chinese Stock Screening with ROE, Trading Activity, and Market Capitalization

Summary

This document describes a Chinese equity screen combining daily price range, five consecutive years of return on equity above 15%, and an external-to-internal trading volume ratio above 1.3. Its proposed refined version also requires market capitalization of at least 1 billion yuan. It presents formula examples for a screening platform and Python, illustrating how the conditions can be combined into a binary selection rule.

The rationale mixes a volatility condition with a profitability measure and a trading activity proxy. The article warns that the volume ratio can omit other influences, data may be inaccurate, and past profitability does not ensure future performance or timely exits. It suggests adding other technical, fundamental, and macroeconomic inputs. The examples are implementation references rather than evidence of historical returns: no backtest results, evaluation period, transaction costs, or portfolio rules are provided. The displayed Python logic also appears to test profitability across available records rather than clearly enforcing five annual observations, so the intended condition requires careful data handling before use.

Key ideas

• The screen combines a price-range threshold with five years of high ROE and a trading activity ratio above 1.3.
• The refined selection rule adds a minimum market capitalization of 1 billion yuan.
• The article recommends considering additional technical, fundamental, and market context.
• The examples provide screening logic but no backtest evidence or performance results.

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