Screening Equities by Price Range, ROE, and Turnover

Summary

This post outlines an equity screening rule using a daily high-low range threshold, sustained return on equity, and a bounded turnover ratio. Its rationale is to combine a minimum level of price movement with evidence of profitability and a middle range of trading activity, excluding stocks that are too inactive or unusually active. It also suggests adding valuation measures and comparing turnover ranges across industries when refining the screen.

The post includes sample formula and Python-style references, but important details are ambiguous. The heading and prose describe five consecutive years of ROE above 15%, while the example selector combines checks over several different lookback lengths rather than clearly requiring every year to pass. The range condition is also described with different wording in the code reference, and no backtest, benchmark, transaction costs, or returns are provided. Treat this as a screening idea requiring careful definition and validation, not as evidence of a profitable strategy.

Key ideas

• The proposed screen combines a price-range threshold, sustained ROE, and a turnover band.
• The turnover constraint is intended to exclude stocks with very low or very high trading activity.
• The post suggests adding valuation measures and accounting for industry differences in turnover.
• Its example logic does not clearly implement the stated requirement for five consecutive years of high ROE.
• No backtest results or evidence of investment performance are supplied.

Tags

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