Combining Five-Year ROE, Moving Averages, and Momentum in an A-Share Screen

Summary

This document presents a Chinese equity screening method combining a large daily price range, consistently high return on equity over five years, and an upward 30-day moving-average condition. An expanded version adds positive MACD difference, a close above the five-day average, and turnover below a stated ceiling. The intended mix is to favor companies with sustained profitability alongside positive price trends and limited trading activity; formula and Python examples illustrate the proposed filters.

The article cautions that historical accounting and price data do not ensure future performance, that moving averages lag, and that ROE may be less useful for newer or loss-making businesses. It recommends broader technical and market-context checks, but provides no backtest, benchmark, or evidence that the combined rules improve returns. The written criteria and sample code are not fully consistent: for example, range is expressed as an absolute price difference in examples, and the Python ROE condition does not clearly enforce a separate five-year sequence per date. Definitions and point-in-time data handling need review before testing.

Key ideas

• The proposed screen combines a daily range condition with sustained five-year ROE and a rising 30-day trend filter.
• The expanded rules add positive MACD difference, a close above the five-day average, and a turnover ceiling.
• ROE and moving-average filters have limitations, including sector and company-stage differences and trend lag.
• No performance evidence is provided, and the examples contain implementation ambiguities that require validation.

Tags

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