Screening Chinese Equities by Volatility, ROE, and Market Capitalization

Summary

This article describes a Chinese equity screening rule that combines a daily high–low range of at least one unit, return on equity above 15% in each of five years, and market capitalization of at least 200 million. It presents the criteria as a way to identify companies with sustained profitability and a minimum scale, while using the trading range as a volatility filter. The article also suggests adding valuation and earnings measures and adjusting thresholds for industry and market conditions.

The evidence is a proposed rule and example indicator and Python snippets; it provides no backtest, return history, or comparison with a benchmark. The examples also leave an “other value factor” unspecified, so the expanded screen is not fully operational as written. The article cautions that size alone omits valuation considerations, and that the volatility and ROE conditions may not suit every industry or market. It further flags possible data quality concerns for very small companies. These are screening ideas rather than evidence of a profitable strategy.

Key ideas

• The screen requires a daily high–low range of at least one unit.
• It selects companies whose ROE exceeded 15% in each of the previous five years.
• It sets a minimum market capitalization of 200 million.
• The article proposes adding valuation and earnings criteria, but does not specify them.
• The rule has no reported backtest and may not fit all industries or market conditions.

Tags

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