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

Summary

This screening proposal combines a daily price-range condition, consistently high return on equity over five years, and an opening price near short-term moving averages. The suggested refinement places the open between the prior ten-day and twenty-day averages. The post explains the intended mix: price range as a measure of movement, ROE as a profitability filter, and moving averages as a trend reference. It includes formula and Python examples, though some details are incomplete or inconsistent: a volatility condition is left as a placeholder, and parts of the code compare closing prices where the prose specifies the open.

The author notes that moving averages do not fully capture trends, simple financial filters may miss company-specific factors, and a strict ROE threshold narrows the candidate set. Possible additions include valuation measures and other indicators. The document provides no backtest or evidence that the screen improves returns. Its sample code should therefore be treated as a sketch of screening conditions, not a validated strategy.

Key ideas

• The proposed screen combines price range, sustained ROE, and moving-average location.
• The refined rule places the opening price between the ten-day and twenty-day averages.
• The sample code leaves a volatility condition unfinished and does not consistently match the prose.
• The post flags trend-measurement limits, narrow financial criteria, and a potentially small candidate set.
• No performance test is reported, so predictive value is unestablished.

Tags

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