Screening Chinese Stocks for Volatility and Five Years of High ROE

Summary

This document outlines a Chinese stock screen combining price amplitude above 1, return on equity above 15% for five consecutive years, and a stock code beginning with 60. It frames amplitude as a volatility filter, persistent ROE as a profitability filter, and the code prefix as a universe restriction. Its proposed refinement adds reasonable price-to-earnings and price-to-book measures and other technical checks such as price-volume analysis.

The post includes example formulas and Python-like code, but provides no backtest, stock list, or performance evidence. Some conditions are placeholders rather than defined measurements, and the examples appear to mix market data and interfaces that may not be compatible as written. The author notes that the universe restriction may narrow the candidate set, and that ROE alone does not account for management or other factors. The suggested additions are not validated, so the screen should be treated as an idea for further research rather than an established strategy.

Key ideas

• The screen combines price amplitude above 1 with ROE above 15% for five consecutive years.
• It restricts candidates to stocks with codes beginning with 60.
• The proposed refinements include valuation measures and additional technical analysis.
• The post identifies a narrow universe and the limitations of ROE and amplitude as standalone filters.
• The example code includes placeholders and is not accompanied by performance evidence.

Tags

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