Screening for High ROE, Active Trading, and Prior-Day Leaderboard Stocks

Summary

This Chinese-equity screening rule selects shares with turnover between 3% and 12%, an appearance on the previous day’s trading leaderboard, and return on equity above 15% for five consecutive years. It pairs a measure of sustained profitability with a recent indicator of market attention and a band for trading activity. The document provides both a formula-style expression and a short data-processing example based on a rolling five-period ROE average.

The accompanying analysis says that the screen emphasizes profitability and activity but omits broader financial health and industry conditions. It also cautions that a high multi-year ROE requirement may favor larger established businesses and exclude smaller potential growth companies. Other technical and fundamental filters are suggested, but the article supplies no empirical performance comparison, and its sample uses a rolling average rather than explicitly checking that every annual ROE clears the threshold. Those definitions and the effects of leaderboard selection would need validation.

Key ideas

• The screen requires turnover from 3% to 12% and prior-day leaderboard inclusion.
• It applies a five-year ROE threshold above 15%.
• The article links ROE to profitability and turnover and leaderboard status to market activity.
• It notes that the filters may favor larger companies and overlook other financial or industry risks.
• The sample implementation averages ROE over five periods, a detail to distinguish from a year-by-year threshold.

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