Combining Price Amplitude, Trading-List Activity, and ROE Screening

Summary

This Chinese equity screening idea combines price amplitude above 1%, appearance on the prior day’s trading list, and return on equity above 15% for five consecutive years. The post frames these conditions as a blend of short-term volatility, market attention, and sustained profitability. It includes formula-style and Python examples that intersect the three filters, but supplies no backtest results or performance evidence.

The author notes that trading-list appearance does not fully represent a stock’s prospects and that high amplitude brings substantial risk. A high ROE filter can also obscure other aspects of financial quality, while trading-volume effects may affect estimates of control or holdings. Suggested refinements include adding other financial measures, technical indicators, capital-flow and sector information, and industry constraints. The code examples and stated rule have some alignment issues: the Python calculation averages five ROE values rather than checking that each exceeds the threshold, and the amplitude timing may not match the prior-day signal. These details warrant verification before use.

Key ideas

• The screen combines amplitude above 1%, prior-day trading-list appearance, and five years of ROE above 15%.
• The rationale pairs short-term activity with a measure of sustained company profitability.
• The post warns that ROE alone and trading-list data do not fully capture investment risk or company quality.
• It suggests adding financial metrics, technical signals, capital flows, and industry filters.
• The provided Python example averages five ROE values, which does not enforce the stated year-by-year threshold.

Tags

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