Screening Chinese A-Shares by Amplitude and Five-Year ROE

Summary

The proposed stock screen combines a price-range condition with a profitability filter: it seeks shares whose high-low amplitude exceeds one and whose return on equity has remained above 15% for five consecutive years, while excluding Beijing-listed A-shares. The document presents this as a blend of a market-movement measure and a fundamental quality criterion, and includes illustrative selector logic and code references.

It cautions that excluding a region may remove strong companies, that historical ROE alone does not determine future returns, and that amplitude is not a measure of low business risk. It suggests considering valuation, trading activity, and additional fundamental or technical measures. The examples contain placeholders for unspecified indicators and do not provide a defined, tested implementation or performance evidence, so the screen requires data and rule validation before use.

Key ideas

• The screen combines high-low amplitude with a five-year ROE threshold and excludes Beijing A-shares.
• The document treats amplitude as a market-activity filter and sustained ROE as a profitability filter.
• Regional exclusions can omit viable companies, while historical ROE does not guarantee future performance.
• Amplitude alone does not capture company or investment risk.
• The sample logic contains unspecified placeholders and offers no backtest evidence.

Tags

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