Screening Chinese Stocks by Growth, Return on Equity, and Valuation

Summary

This A-share stock selection example screens for companies meeting three stated criteria: profit growth above 15%, return on equity above 15% for three consecutive years, and a price-to-earnings ratio below 35. The implementation treats profit growth, return on equity, and valuation as input features, then applies the thresholds to select securities. It describes an equal-weight approach, allocating the same target portfolio share to each selected stock and placing orders for names not already held.

The described test buys at the open and sells at the close over the period from May 1 to June 15, 2017. The document also mentions a data extraction interval from late 2014 through the end of 2016, but does not explain how that interval relates to the trading period or how financial data timing is handled. It supplies no returns, benchmark comparison, costs, or risk measures, so it does not establish whether the screen worked or whether the backtest avoids look-ahead bias.

Key ideas

• The screen combines profit growth, sustained return on equity, and a price-to-earnings ceiling.
• Selected stocks are assigned equal target weights in the portfolio.
• The stated trading test buys at the open and sells at the close.
• The document gives no performance statistics or transaction-cost assumptions.
• The relationship between the data extraction dates and test period is unclear.

Tags

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