Screening Stocks by Daily Range, 10-Day Average, and Five-Year ROE

Summary

This stock screen combines a daily price-range condition, an opening price near the 10-day moving average, and a history of return on equity above 15% for five consecutive years. The document gives example formulas for calculating the range and moving average, checking successive ROE observations, and combining the conditions into a selection. The opening-price band is defined as within 5% of the moving average. The amplitude calculation uses the prior close as its denominator.

The rationale is that sustained ROE may indicate profitability, while the price conditions describe recent movement and positioning. The document provides no backtest or performance evidence. It also cautions that ROE alone does not capture overall financial health or predict market returns, and that the screen may favor value-oriented stocks. It recommends considering other company and industry information, but does not specify how to combine those inputs or how to handle accounting data timing and survivorship effects.

Key ideas

• The screen requires amplitude above 1% and an opening price within 5% of the 10-day moving average.
• It also requires ROE above 15% in each of five consecutive observations.
• The formula examples combine all three conditions to select stocks.
• The document provides no performance test and notes that ROE does not capture all financial or market risks.

Tags

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