Screening Chinese A-Shares by Amplitude and Five-Year ROE
Summary
The document outlines a stock screen that selects shares with daily high-low amplitude above one percent, excludes Beijing-listed A-shares, and requires return on equity above fifteen percent in each of the prior five years. It frames the screen as combining a price-movement condition with a profitability measure, and includes example formulas and a Python-style workflow for joining price and financial data, applying the filters, and ranking eligible stocks by circulating market value.
No backtest, benchmark comparison, or realized performance evidence is provided. The text itself cautions that historical ROE may not predict future business conditions, that the valuation discussion is underdeveloped, and that amplitude alone is an incomplete measure of volatility. It also recommends adding growth, leverage, industry context, and risk controls, but does not specify or test those additions. The screen is therefore a starting point for research, not a validated investment strategy.
Key ideas
- The proposed screen requires amplitude above one percent and excludes Beijing A-shares.
- It selects companies with ROE above fifteen percent in each of five prior years.
- The example workflow joins price and fundamental data, filters candidates, then ranks by circulating market value.
- The document provides no backtest or evidence that the criteria produce superior returns.
- It identifies historical-data, valuation, regional, and volatility-measurement limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.