Combining Five-Year ROE, Price Range, and Moving-Average Filters

Summary

This Chinese-language post outlines an equity screen that combines daily price movement with company profitability and a short-term price trend. Its initial rules require a price range of at least one unit, return on equity above 15% for five consecutive years, and the closing price above its five-day moving average. The suggested expanded screen adds positive net-profit and revenue growth over two quarters, a bullish MACD relationship, and a daily gain above 2%.

The post presents the rules as a way to combine fundamental quality with technical momentum, and supplies example formulas and Python-style logic. It offers no performance statistics or backtest evidence. It warns that historical performance may not persist, that ROE can be less useful for new or loss-making businesses, and that moving averages can mislead in sideways or low-volume markets. It also notes the screen's limits and suggests broadening the financial and technical measures; these suggestions are not validated in the document.

Key ideas

• The initial screen pairs five consecutive years of high ROE with a price above its five-day moving average.
• A suggested version adds quarterly growth, MACD, and daily price-change filters.
• The post gives implementation examples but no measured performance results.
• ROE and moving-average signals may be less reliable for some companies and market conditions.

Tags

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