Combining ROE, Recent Limit-Ups, and Price Range in a Stock Screen

Summary

This stock screen combines a high-low price range condition, return on equity above 15% across five years, and at least two limit-up sessions within ten days. The document presents ROE as a measure of operating strength and recent limit-ups and price range as signs of market attention and risk. It includes example formulas and Python-style logic for identifying candidates, though parts of the code contain placeholders and inconsistent condition handling.

The post offers no backtest or performance evidence. It cautions that the screen may favor popular, volatile stocks, overlook strong but less noticed companies, and omit other important factors. It recommends considering turnover, broader price changes, market flows, company financials, and industry differences, while adjusting thresholds to context. The described thresholds and implementation would need careful validation, including how limit-up events and multi-year ROE are defined for different stocks and datasets.

Key ideas

• The proposed screen combines a price range condition, five years of ROE above 15%, and at least two limit-up days in a ten-day window.
• ROE represents a business-quality filter, while recent limit-ups indicate strong market attention.
• The document provides example logic but no backtest results, and some code elements are placeholders.
• The screen may concentrate on volatile popular stocks and miss less visible companies.
• Additional financial, turnover, flow, and industry-specific factors are suggested for review.

Tags

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