Screening Chinese Stocks by ROE, Intraday Range, and Daily Decline

Summary

This Chinese A-share screening proposal combines three conditions: an intraday range greater than one, return on equity above 15% in each of five consecutive years, and a stated daily maximum decline between 4% and 5%. The explanation interprets the range as a volatility filter, the ROE history as a profitability screen, and the decline as a short-term pullback that may create an entry candidate. It includes formula and Python references for applying the conditions.

The document suggests adding future earnings measures, drawdown constraints, and broader market-trend analysis. It cautions that historical ROE may not reflect future prospects, that a sharp decline may continue, and that short-term conditions do not forecast long-term market direction. No backtest results or evidence of predictive performance are provided. The final proposed logic adds an unspecified future-performance criterion, so that part cannot be implemented precisely from the description alone.

Key ideas

• The screen combines an intraday range threshold, five years of strong ROE, and a daily decline band.
• The conditions are intended to mix stock volatility, historical profitability, and a short-term pullback.
• The article provides formula and Python references for expressing the initial screen.
• Past ROE and a recent decline do not establish future company performance or a reversal.
• The proposed future-earnings filter is not specified in enough detail to reproduce.

Tags

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