Screening for Persistent ROE and a Rising Moving Average Trend
Summary
This proposed stock screen combines a daily price range condition, sustained return on equity above 15% over five years, and a 20-day moving average above the 120-day average. The ROE filter is intended to identify companies with persistent profitability, while the moving average comparison acts as a trend filter. The document includes example formula and Python snippets, although some placeholders and inconsistencies mean they should not be treated as a complete, validated implementation.
The article cautions that moving averages may behave differently across stocks and industries, and that this small set of conditions omits other relevant factors. It suggests adding trend indicators, company or market measures, and adjusting thresholds to sector conditions. No backtest or performance evidence is supplied. The stated screening rules are therefore a starting hypothesis; the text does not define portfolio sizing, trading timing, or risk management.
Key ideas
- The screen combines a daily high-low range condition, five years of ROE above 15%, and a 20-day average above the 120-day average.
- ROE is used as a proxy for persistent company profitability, while moving averages represent price trend.
- The article warns that moving average behavior can differ across securities and industries.
- It recommends considering additional indicators and adapting thresholds to market or sector conditions.
- No backtest evidence or complete portfolio and risk rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.