Combining RSI, Market Capitalization, and Persistent ROE for Stock Selection

Summary

This stock-selection rule combines RSI below 65 with a circulating market value between 5 billion and 10 billion yuan and ROE above 15% for five consecutive years. It aims to pair a technical condition with company profitability and size filters. The post explains ROE as a measure of profitability and suggests that sustained high readings may help identify firms with a record of strong earnings, while RSI adds a price-based selection criterion. Its code example calculates RSI and rolling ROE and, when enough candidates qualify, sorts them by price change to select a limited list.

No backtest results or return evidence are provided. The discussion itself notes that ROE alone can miss unstable business performance and that recent market behavior is not incorporated. It suggests including valuation measures, trading volume, and recent price information. The implementation also warrants scrutiny: the displayed indicator formula does not clearly calculate ROE, and sorting candidates by recent percentage change adds a selection step not central to the written rule. Treat the screen as a proposed filter rather than a demonstrated strategy.

Key ideas

• The screen requires RSI below 65, a specified circulating market-value band, and sustained ROE above 15%.
• It combines technical, size, and profitability criteria in one stock-selection rule.
• The post supplies code examples but reports no backtest results or evidence of returns.
• ROE can omit important aspects of business quality and earnings stability.
• The example implementation includes details that do not fully align with the described rule.

Tags

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