Combining Five-Year ROE, Price Range, and Control Signals in a Stock Screen
Summary
This note proposes screening equities for a daily price range greater than one, return on equity above 15% in each of the past five years, and a “control” reading above 21. It frames the range and control reading as technical or money-flow clues, while persistent ROE is used as a profitability filter. It suggests supplementing these conditions with other indicators, valuation or dividend measures, and additional flow data, as well as using stop-loss and profit-taking rules.
The document supplies formula and Python examples, but they contain placeholders and do not reliably define or implement the described equity screen. In particular, the sample code refers to futures contract data and uses a net-volume field for the control threshold. No backtest, sample, or measured result is provided. The note itself warns that the control measure may be distorted by market activity and that a single metric cannot capture a company’s condition. The proposed thresholds should be treated as an unvalidated screen, with data definitions and asset universe clarified before testing.
Key ideas
- The proposed screen combines price range, sustained ROE, and a control or flow reading.\nThe profitability condition requires ROE above 15% for five consecutive years.\nThe examples use placeholders and do not consistently represent the stated equity screen.\nThe note provides no performance evidence and identifies measurement and market risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.