Chinese Stock Selection with Rising Lows, Volatility, and Sustained ROE

Summary

This document proposes a Chinese equity screen combining amplitude above 1, rising lows, and return on equity above 15% for five consecutive years. The technical conditions aim to capture price movement and a strengthening price floor, while the ROE requirement is intended to favor firms with a sustained record of profitability. Example indicator and Python snippets outline possible implementations, including checks against historical financial data.

The article recommends broadening the screen with other technical and fundamental measures, such as volume, moving averages, valuation, market capitalization, and financial health, and considering differences across industries and market conditions. It also notes that ROE can be incomplete as a measure of company value and that unusual accounting, management changes, or industry shifts can undermine a historical record. The implementation examples are explicitly for reference, and some details, including the amplitude calculation and the meaning of the rising-bottom condition, are not fully established. No backtest or return evidence is supplied.

Key ideas

• The screen combines amplitude above 1 and rising lows with ROE above 15% for five consecutive years.
• Its rationale joins price behavior with a sustained profitability measure.
• The article suggests adding valuation, volume, moving-average, and financial-health filters.
• ROE history may be distorted by accounting issues, management changes, or industry shifts.
• The document gives example implementations but no backtest or performance evidence.

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