Screening Smaller-Float Stocks by Volatility and Five-Year ROE

Summary

This Chinese equity-selection note combines three filters: daily amplitude above 1%, tradable shares no greater than 5.5 billion, and return on equity above 15% across a five-year period. It frames the filters as a way to find volatile stocks with relatively smaller share floats and a history of strong profitability. The supplied formula and Python examples, however, calculate an average of five sampled ROE observations rather than verifying that ROE exceeded the threshold in each of five consecutive years. The examples also rank qualifying stocks by turnover, a step not central to the stated screen.

The note gives no backtest or evidence that the criteria improve returns. It warns that past profitability may not persist and that the screen omits industry context and other fundamentals. It recommends broader evaluation and periodic review, but does not specify entry, exit, or risk-management rules. The mismatch between the stated consecutive-year requirement and the example calculations limits reproducibility.

Key ideas

• The screen combines amplitude, tradable share count, and historical ROE criteria.
• The examples average five ROE observations rather than checking each year individually.
• The Python example ranks selected stocks by turnover after applying the filters.
• The note provides no performance evidence and warns that past ROE may not predict future results.

Tags

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