Screening Stocks by Five-Year ROE, Trading Range, and Board Exclusion

Summary

This Chinese equity screen combines a price-range condition, a profitability filter, and an exchange-board exclusion. It proposes selecting stocks with an intraday high-low range above 1, return on equity above 15% in each of the past five years, and exclusion of the STAR Market. The rationale is to pair a minimum level of price movement with a record of profitability while avoiding a specified market segment.

The author notes that the screen may favor some industries over others and that historical ROE may not predict future performance. Suggested refinements include adding valuation or market-cap variables and reviewing ROE in the context of financial and industry analysis. The page supplies formula and Python examples, but no backtest or evidence of returns. The examples use inconsistent definitions and implementation logic: the stated percentage threshold does not clearly match the code’s ROE scale, and the range calculation compares price range with ATR rather than a plainly defined amplitude threshold. The method therefore needs precise data conventions and validation before use.

Key ideas

• The proposed screen requires a high-low price range above 1 and ROE above 15% for five consecutive years.
• It excludes stocks from the STAR Market.
• The author warns that industry bias and backward-looking ROE may weaken the selection.
• No performance evidence is provided, and code examples do not clearly match the written thresholds.

Tags

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