Combining Five-Year ROE, a Long Moving Average, and Momentum Filters

Summary

This proposed equity screen combines daily price movement, a record of strong return on equity over five years, and a price above its 250-day moving average. The article’s expanded version adds bullish KDJ and MACD comparisons and limits turnover to below 5%. It supplies indicator formulas and a sample implementation, but the code’s ROE threshold and data handling do not map cleanly to the stated five-year condition, so the implementation would need review before use.

The rationale is to combine a long-term trend filter with profitability and shorter-term technical signals. The article notes that historical profitability may not persist, moving averages can lag, and ROE can be less informative for newer or persistently loss-making firms. It recommends broader financial checks and adjusting trend criteria to market conditions. It does not report a backtest or results, and its suggested filters are presented without evidence that they improve returns.

Key ideas

• The initial screen looks for daily amplitude of at least one, five consecutive years of ROE above 15%, and price above the 250-day average.
• The expanded screen adds bullish KDJ and MACD comparisons and turnover below 5%.
• The article flags lagging trend signals and limitations of ROE for newer or loss-making firms.
• The supplied code may not faithfully implement the stated five-year ROE condition, and no performance results are reported.

Tags

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