Combining Five-Year ROE, Price Range, and a 15-Minute MACD Signal

Summary

This Chinese equity screening proposal combines three conditions: price amplitude above a threshold, return on equity above 15% in each of the prior five years, and a shortening green histogram on a 15-minute MACD. The intended logic pairs a history of strong profitability with a short-term technical cue that may help time an entry. Example indicator formulas and Python code are included, but the code’s implementation details do not align cleanly with all the stated conditions, so they should not be taken as a validated specification.

The document gives no backtest, trade sample, or performance statistics. It cautions that a shrinking MACD histogram does not establish a trend, historical ROE does not ensure future earnings, and price amplitude is a limited measure of risk. It suggests comparing ROE within industries and incorporating other technical, market-value, and profitability measures. The screen is presented as a heuristic, with no evidence that it predicts returns or controls downside risk.

Key ideas

• The proposed screen requires price amplitude above a threshold and ROE above 15% in each of five years.
• A 15-minute MACD histogram shortening is used as a possible entry-timing cue.
• The document does not provide backtest results or other performance evidence.
• It warns that past ROE may not persist and MACD changes do not fully describe price trends.
• Industry differences and additional company and technical measures are suggested as refinements.

Tags

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