Screening A-Shares for Strong Five-Year ROE and Price Movement

Summary

This proposed A-share screen selects stocks with a price-range measure above 1, that did not close at the limit-up level the previous day, and that recorded return on equity above 15% in each of the past five years. The post frames the range condition as a way to find more active stocks, the prior-day filter as a way to avoid stocks in a rapid and potentially unstable rise, and sustained ROE as a sign of profitability. It also gives formula and Python examples for translating the screen into filters.

The article supplies a selection rule and rationale, but no backtest, performance results, or evidence that these conditions predict returns. Its code’s price movement calculation does not clearly match the described daily range criterion, and its ROE data handling may not establish one qualifying value for each of five consecutive years. The post cautions that high ROE can reflect corporate actions that do not support lasting share-price gains, and that market and industry conditions matter. It recommends combining the screen with broader fundamental analysis and portfolio diversification.

Key ideas

• The proposed screen requires a price-range threshold, no limit-up close on the previous day, and ROE above 15% in each of five years.
• The author treats sustained ROE as a profitability signal and price movement as a source of trading opportunity.
• The post provides example formulas and code, but no performance evidence.
• High ROE may be affected by corporate actions and does not guarantee continued share-price growth.
• The author recommends considering market, industry, and broader company fundamentals and diversifying holdings.

Tags

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