Screening Chinese Stocks by Volatility, Market Value, and Five-Year ROE

Summary

This stock-selection screen combines a daily price-range condition, a minimum circulating market value, and a profitability filter requiring return on equity above a stated threshold across five years. The document presents the combination as a way to find larger companies with sustained profitability while retaining a volatility condition. It also includes example screening logic and a Python illustration using financial and daily market data.

The article offers no backtest, portfolio returns, benchmark comparison, or evidence that the filters predict future performance. It cautions that ROE can reflect accounting policy and industry changes, and that the screen may miss future shifts in industries. The examples also do not perfectly clarify how the five-year requirement is enforced: the code checks for multiple qualifying ROE observations, while the written rule calls for consecutive years. The proposed refinements include adding value, growth, quality, and industry-related measures, which would require separate testing before use.

Key ideas

• The screen combines a price-range filter, a minimum circulating market value, and a five-year ROE condition.
• The article explains volatility, company size, and profitability as the intended selection dimensions.
• Its code examples illustrate data-based screening but do not establish that the strategy is profitable.
• ROE may be affected by accounting choices and industry changes, and the screen may miss structural shifts.
• The suggested improvements add value, growth, quality, and industry measures for further evaluation.

Tags

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