Combining Five-Year ROE Strength with a Three-Day Decline

Summary

This screen combines a daily amplitude threshold of at least 1 with return on equity above 15% in each of the last five years, then looks for three consecutive down days. It joins a historical profitability filter with a short-term price pattern. The article includes indicator and Python examples, but gives no backtest, results, or evidence that this combination improves returns.

The stated caveats include reliance on past performance, the risk of reacting too late to changing conditions, and omitted economic or political influences. The document suggests considering volume, market capitalization, additional technical indicators, and position controls. The examples also differ in how they express the ROE window, so implementation details should be checked before use; the screen itself does not specify entry, exit, or portfolio rules.

Key ideas

• The screen requires amplitude of at least 1 and ROE above 15% for five consecutive years.
• It also looks for a three-day declining price pattern.
• The method combines a historical profitability condition with a short-term technical condition.
• No performance evidence or trade management rules are provided.
• The article recommends broader indicators and position risk controls as possible refinements.

Tags

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