Equity Screening with Price Range, Persistent ROE, and Volume Change
Summary
This stock screening proposal combines a daily high-low range threshold with a requirement for consistently strong return on equity across five years. It then uses the interaction of price change and changes in trading volume as a further selection signal, with the suggested final rule requiring that signal to cross above its 20-day moving average. The approach is framed as combining price action, company profitability, and trading activity.
The document cautions that the price-volume signal needs validation, that historical profitability may not anticipate future conditions, and that broader market and macroeconomic influences are omitted. It suggests adding other technical and fundamental measures. It provides formula and Python examples, but no backtest, benchmark, transaction-cost analysis, or evidence of returns. The examples also describe the volume proxy in somewhat different terms from the stated large-order net-volume concept, so the exact signal definition needs clarification before evaluation.
Key ideas
- The screen requires a high-low price range of at least one unit and strong ROE across five years.
- A price-change and volume-change interaction is used as an additional trading signal.
- The proposed final rule looks for that signal to rise above its 20-day moving average.
- The source flags uncertainty in the signal and the risk of relying on historical profitability alone.
- No performance testing or transaction-cost evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.