Screening for Seven-Day Declines, Turnover, and Persistent ROE

Summary

This stock-selection rule combines a turnover band of 3% to 12%, seven consecutive daily declines, and return on equity above 15% for five consecutive years. The document frames the financial condition as a way to favor companies with a record of profitability, while the recent price weakness supplies a short-term trend signal. It also suggests considering valuation measures such as price-to-earnings and price-to-book ratios, market sentiment, and risk controls when refining the screen.

The article provides indicator and Python examples, but their implementation details do not fully match the stated rule: the Python snippet calculates an average from a slice of annual financial data rather than clearly checking each of five years individually. The document offers no backtest results or portfolio-performance evidence. It also cautions that the restrictive criteria may leave too few stocks for diversification and may overlook changes in market conditions, industry prospects, or other fundamentals. Treat the screen as a candidate-generation idea whose data definitions and implementation need verification.

Key ideas

• The screen combines turnover between 3% and 12% with seven consecutive days of declining or non-rising closing prices.
• It additionally requires return on equity above 15% across five consecutive years.
• The author presents financial quality and recent price weakness as complementary selection inputs.
• The code example may not enforce the stated five-year ROE condition exactly, so its data logic needs checking.
• The article provides no performance test and warns that strict criteria can limit diversification.

Tags

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