Combining Volatility, Persistent ROE, and Float Market Capitalization

Summary

The proposed stock screen combines daily price amplitude above 1, return on equity above 15% for five consecutive years, and free-float market capitalization above 10 billion yuan. The article presents amplitude as a way to retain stocks with price movement, ROE as a profitability filter, and float capitalization as a size constraint that narrows the candidate list toward larger firms. It provides example indicator logic and Python-style pseudocode, but the code includes placeholder conditions and does not clearly implement every stated requirement consistently.

The discussion notes that a size threshold can leave out smaller companies with growth potential and may still select expensive industry leaders. It suggests valuation measures such as price-to-earnings or price-to-book ratios and industry comparisons as additional checks. No backtest or evidence of returns is included, so the screen is a proposal rather than a demonstrated strategy; implementation also requires verifying units, ROE timing, and the intended five-year persistence test.

Key ideas

• The screen pairs amplitude above 1 with ROE above 15% across five years and a minimum float capitalization.
• ROE and market capitalization serve as profitability and company-size filters, respectively.
• A capitalization floor can exclude smaller firms and does not prevent selecting overvalued stocks.
• The examples contain placeholders, and the article provides no performance evaluation.

Tags

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