Screening Chinese Stocks by Trading Range, ROE, Size, and Price-to-Book

Summary

This post describes a Chinese equity screen combining daily price range, five consecutive years of return on equity above 15%, and a circulating market capitalization between 5 and 10 billion yuan. Its proposed refinement adds a price-to-book ceiling of 3. The underlying idea combines a trading-activity condition with profitability, company size, and valuation filters.

The post discusses possible weaknesses: market capitalization alone may not capture valuation or growth, data errors can affect selection, and the initial discussion does not fully integrate company fundamentals. It suggests adding indicators and broader market context, though it provides no tested results or evidence that those changes improve performance. The indicator and Python examples are implementation references, not a documented backtest; the Python description also differs from the stated five-year ROE test by checking whether grouped observations exceed a threshold without clearly enforcing a five-year window. Threshold definitions and data conventions would need verification before use.

Key ideas

• The screen combines a daily high-low range threshold with five years of ROE above 15%.
• It limits circulating market capitalization to 5–10 billion yuan and adds a price-to-book ratio below 3.
• The post identifies valuation, growth, and data quality as limitations of the filters.
• No backtest results are provided to establish whether the screen is profitable.
• The sample implementation should be checked against the stated five-year ROE requirement.

Tags

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