Screening Stocks by Five-Year ROE, Daily Range, and Auction Orders
Summary
This proposed stock screen combines a daily price-range threshold, consistently high return on equity over five years, and large or extra-large buy orders during the opening auction. Its stated logic requires the combined auction buy volume to exceed the specified threshold. The article frames these inputs as a mix of price behavior, company profitability, and trading activity, and offers example indicator and Python implementations.
The document gives no backtest, performance evidence, or precise definitions for the auction-order data and range measure. It cautions that auction flows may be delayed or incomplete, that a few indicators can miss company and industry specifics, and that automation does not replace risk controls. It suggests adding other trading data and indicators, but those additions are recommendations rather than tested parts of the screen. The examples also differ in how they describe or measure orders, so implementation details should be checked before use.
Key ideas
- The screen combines a daily range filter with a five-year ROE threshold.
- It additionally requires substantial buy orders during the opening auction.
- The article recommends adding other market data and explicit risk controls.
- It provides no evidence that the proposed criteria produce profitable trades.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.