Combining Five-Year ROE Quality with Volatility and Recent Price Spikes

Summary

This post describes a stock screen pairing a minimum daily trading range with return on equity above a threshold for five consecutive years and at least one large one-day gain during a recent trading window. The intended combination seeks companies with sustained profitability alongside evidence of recent price activity. The article acknowledges that single indicators can miss business and market complexity, that short-term price jumps may reflect sentiment, and that mechanical rules can ignore industry and company differences. It proposes further technical, fundamental, and risk filters.

The post supplies illustrative formula and Python examples, but they are not a complete or reliable specification: the technical indicator is left as a placeholder, and the sample data and instruments do not clearly match the described equity screen. No backtest, benchmark comparison, or realized performance evidence is presented. The proposed strategy should therefore be treated as a rough screening concept; its signal definitions, point-in-time fundamentals, universe, and risk controls require clarification before testing.

Key ideas

• The screen combines a minimum daily range with consistently high return on equity over five years.
• It also requires a large positive daily return within a recent trading window.
• The author notes that short-term price jumps and isolated indicators may not reflect underlying value.
• Additional technical, fundamental, industry, and risk filters are suggested but not validated.
• The sample implementation is incomplete and does not provide performance evidence.

Tags

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