Screening Chinese Stocks by Volatility, Five-Year ROE, and Dragon-Tiger List Activity

Summary

This note describes a Chinese A-share screen combining daily price range, profitability, and recent trading attention. It seeks stocks with an amplitude above 1, return on equity above 15% for five consecutive years, and an appearance on the previous day’s Dragon-Tiger List. The rationale is that the range indicates volatility, sustained ROE indicates profitability, and list activity may signal near-term market interest.

The note gives example indicator and Python-style implementations, but the formulas are illustrative and contain placeholders or inconsistencies, including an undefined volatility condition and an ROE calculation that does not clearly implement five separate annual observations. It provides no backtest or performance evidence. It flags the limited coverage of Dragon-Tiger data, the omission of other fundamentals, and the possibility that the strict ROE requirement leaves a narrow candidate pool. Suggested refinements include adding valuation measures and considering the list’s buy-side activity. The screen is a candidate-selection idea, not evidence of a validated trading strategy.

Key ideas

• The screen combines amplitude above 1, five consecutive years of ROE above 15%, and previous-day Dragon-Tiger List activity.
• The stated rationale pairs short-term volatility and market attention with sustained profitability.
• The examples are illustrative and leave parts of the indicator logic unspecified.
• Dragon-Tiger List activity is an incomplete signal, and the screen omits other business fundamentals.
• The note suggests adding valuation measures and accounting for buy-side activity.

Tags

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