Screening Stocks by Price Amplitude, Exact Price, and Persistent ROE

Summary

This proposed equity screen selects shares using three conditions: daily price amplitude above a threshold, a closing price of 18.5 yuan, and return on equity above 15% for five consecutive years. The article presents sustained ROE as a signal of long-term profitability and combines it with price and volatility criteria. It suggests adding other financial and technical measures, industry context, and profit-taking or stop-loss rules when evaluating candidates.

The document includes sample indicator and Python logic, but provides no backtest, portfolio results, or evidence that the conditions produce an advantage. Its exact-price requirement is unusually restrictive, and the text alternates between calling the price “18” and specifying 18.5 yuan. It also acknowledges that a five-year ROE screen may exclude younger growth firms and that ROE can be unreliable or manipulated. Data availability, financial reporting timing, and the precise amplitude calculation would need careful treatment before evaluating the screen.

Key ideas

• The proposed screen requires price amplitude above a threshold and a closing price of 18.5 yuan.
• It also requires ROE above 15% in each of five consecutive years.
• The article recommends considering additional financial, technical, and industry information.
• It notes that persistent ROE criteria can exclude younger firms and that reported ROE may be unreliable.
• No historical performance evidence is presented, and the price specification is inconsistent in the text.

Tags

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