Screening Chinese Stocks by Price Range, Five-Year ROE, and Limit-Up Status

Summary

This Chinese-equity screening proposal combines daily price range, profitability, and the previous session’s price-limit status. Its initial rule selects stocks with an intraday high-low range above one, return on equity above 15% for each of five years, and a previous close below the applicable limit-up price. The document describes the range condition as favoring more active stocks and the ROE filter as a way to identify companies with sustained profitability. It then proposes adding revenue growth, profit growth, cash flow, market direction, and valuation considerations.

The article includes indicator-formula and Python examples, but the examples simplify some conditions: the code uses a fixed 10% prior-close comparison and the ROE calculation depends on the supplied dataset. No backtest results or evidence of predictive performance are reported. The author cautions that the screen may be sensitive to market sentiment, omits valuation in its initial form, and treats the absence of a prior limit-up as an imperfect signal. It is a stock-selection filter, not a complete portfolio or trading plan.

Key ideas

• The proposed screen combines a daily high-low range above one, five years of ROE above 15%, and no prior-session limit-up close.
• The article suggests supplementing these filters with growth, cash-flow, market-trend, and valuation measures.
• Its sample implementations simplify the prior limit-up condition and rely on input financial data.
• The author notes that sentiment, valuation omissions, and the imperfect limit-up proxy can weaken the screen.
• No backtest evidence, entry rules, exits, or portfolio controls are provided.

Tags

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