Equity Screening with MACD, Rising Averages, and Persistent ROE

Summary

This document presents an equity screen combining three conditions: MACD above zero, short-term moving averages arranged to indicate an upward trend, and return on equity above 15% for five consecutive years. It interprets the MACD and moving-average conditions as signs of upward price momentum, while the ROE history is intended to select companies with sustained profitability. The screen can rank qualifying stocks by average ROE.

The article includes indicator definitions and example formulas for screening and ranking, plus a Python illustration. It does not report backtest results, returns, or risk statistics, so it offers a rule set rather than evidence that the strategy is profitable. It warns that the filter omits other fundamental considerations and may place too much weight on short-term gains. It recommends combining additional technical and fundamental analysis, but does not specify how to do so or address implementation details such as rebalancing, transaction costs, or survivorship bias.

Key ideas

• The screen requires MACD to be above zero and short moving averages to indicate an upward arrangement.
• Companies must maintain ROE above 15% for five consecutive years to qualify.
• Qualifying stocks can be ranked by average ROE.
• The document supplies example formulas and code but no backtest evidence.
• The screen omits broader fundamental analysis and does not describe trading costs or rebalancing.

Tags

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