Combine Trading Range, Five-Year ROE, and Recent Limit-Up Activity

Summary

This proposed Chinese equity screen combines a trading-range threshold above one percent, return on equity above 15 percent in each of five consecutive years, and at least one limit-up event in the preceding 25 days. The stated rationale pairs a volatility or activity filter with a profitability screen and a recent price-strength signal. The article also sketches indicator logic and sample code, though these examples are not a complete, validated implementation of the stated rules.

The author notes that simple keyword rules can misclassify stocks, that the screen omits industry and macroeconomic conditions, and that a recent limit-up event may not predict future returns. Suggested refinements include adding indicators such as MACD and incorporating sector and broader market context. The article provides no backtest results or evidence that the combined filters improve performance. It also cautions that a stock at its limit may be difficult to buy, which can make execution differ from a signal-based assumption.

Key ideas

• The screen combines a trading-range threshold, five years of strong ROE, and a recent limit-up event.
• The profitability filter is intended to identify companies with a sustained earnings record.
• A limit-up signal is not evidence by itself that a stock will continue to perform well.
• Industry, macroeconomic conditions, and additional technical indicators could add context to the screen.
• The article supplies no performance testing and flags limited execution access after a limit-up move.

Tags

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