Screening Chinese Equities by ROE, Price Range, and Turnover

Summary

The post proposes a stock screen combining daily price range, five years of return on equity above a threshold, and high turnover on the previous day. It presents the turnover condition as a way to focus on more actively traded stocks, then notes that high turnover can also mean large investors have already dominated trading and that the filter may exclude promising firms with quieter trading. The screen is described as a selection rule rather than a complete portfolio or trading strategy.

The post suggests supplementing the screen with valuation measures such as price-to-earnings or price-to-book ratios and refining the profitability and growth criteria. It includes example indicator and Python snippets, but does not provide backtest results, investment horizon, transaction-cost analysis, or a clear validation of the selection logic. Its risk discussion also cautions that turnover and past profitability alone may not capture company value or future performance.

Key ideas

• The proposed screen combines a minimum daily price range, sustained ROE, and elevated prior-day turnover.
• The post treats turnover as a way to select more actively traded stocks but flags crowding and price risk.
• High turnover filters may exclude firms with strong growth prospects but lower recent trading activity.
• Valuation and growth measures are suggested as additional screening inputs.
• The post gives no backtest or transaction-cost evidence for the screen.

Tags

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