Screening Equities with ROE, KDJ Growth, Price Range, and Valuation Filters

Summary

This post proposes an equity screen combining daily high-low range, five consecutive years of return on equity above 15%, and a rising KDJ K value. Its expanded version adds a market-capitalization band of 5–10 billion yuan and a price-to-book ceiling of three. The conditions are combined as pass-or-fail filters, with references to implementations in a Chinese stock-analysis formula language and Python.

The article cautions that a single KDJ component may give misleading signals, data can be inaccurate, and technical filters may omit companies with strong underlying quality. It suggests adding other indicators and fundamentals and adapting the rules to market conditions. The examples do not report a backtest, returns, benchmark, transaction costs, or a defined universe. There is also a mismatch between the stated five-year ROE requirement and the Python example’s apparent threshold convention, so implementation details should be checked before using the screen.

Key ideas

• The proposed screen combines a minimum daily price range with five years of strong ROE and rising KDJ K values.
• An expanded version restricts market capitalization and requires price-to-book to remain below a ceiling.
• The conditions are implemented as binary filters whose product determines whether a stock passes.
• The post warns that relying on one KDJ component or inaccurate data can produce poor selections.
• No performance test is presented, and the sample code may not precisely match the stated ROE condition.

Tags

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