Screening Equities by Volatility, ROE Consistency, and Institutional Holdings

Summary

This document outlines an equity screen combining a daily high-low range threshold, five consecutive years of return on equity above 15%, and institutional ownership. Its refined rule translates the institutional buying idea into a minimum holding of 100,000 shares. It also gives example implementations in a screening formula and Python, though those examples are illustrative rather than a tested strategy.

The screen aims to combine price movement, profitability, and institutional positioning. The article identifies risks: institutional buying data may be mistimed or misleading, other relevant indicators and fundamentals are omitted, and the signal is not validated. It suggests checking institutional share counts, adding technical indicators, and evaluating signal accuracy. No performance results or empirical validation are provided, and the meaning and units of the daily range threshold may need clarification before use.

Key ideas

• The proposed screen requires a daily high-low range of at least one unit.
• It selects equities with return on equity above 15% in each of five years.
• The refined institutional ownership condition is at least 100,000 shares.
• The document flags timing errors, omitted factors, and unvalidated institutional signals as risks.
• No backtest results are presented.

Tags

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