Screening Shanghai-Listed Stocks by Range and Five-Year ROE

Summary

This selection rule combines a price-range filter with a market-universe restriction and a profitability screen. It targets stocks whose codes begin with 60, whose amplitude exceeds a threshold, and whose return on equity has remained above a stated level across five years. The note describes high ROE as a sign of profitability and presents the range condition as a way to find more volatile stocks. It includes sample indicator and Python implementations, but no backtest or performance evidence.

The author cautions that ROE alone cannot describe a company’s financial condition or establish that its growth will persist. They recommend considering measures such as earnings growth and debt-paying capacity alongside business prospects. The examples also leave implementation details open: the Python snippet averages available annual ROE observations, which may not be equivalent to requiring every one of five years to clear the threshold. The screen is therefore a basic candidate filter, not a complete valuation or trading method.

Key ideas

• The screen combines a minimum price-amplitude condition with a stock-code prefix filter and a five-year ROE threshold.
• The note treats sustained high ROE as a profitability signal, but does not establish that it predicts future returns.
• The author recommends evaluating additional financial measures and business prospects.
• The sample Python logic may average the selected years’ ROE values rather than verify that each year meets the threshold.
• No backtest or performance results are presented.

Tags

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