Screening Stocks by Price Range, Five-Year ROE, and Moving Averages

Summary

This proposed equity screen combines a daily price-range condition, sustained return on equity, and a moving-average condition. It aims to find firms with consistently strong profitability alongside a technical price pattern. The article describes using a range greater than one, ROE above 15% for five consecutive years, and at least five overlapping moving averages. It also sketches indicator and Python implementations.

The implementation examples do not clearly match the stated screen: the formula checks a five-day average against several of its own prior values rather than testing whether five distinct averages overlap, and the Python example has data and grouping assumptions that are not explained. No backtest or performance evidence is supplied. The document itself notes that moving averages and a single profitability measure can miss company and industry differences, and suggests adding other indicators, valuation measures, and risk controls. The screen should therefore be treated as a rough selection concept, not a validated strategy.

Key ideas

• The proposed screen combines a daily high-low range threshold with sustained ROE.
• It describes a condition requiring at least five moving averages to converge.
• The supplied formula appears to test one moving average over prior bars instead of convergence among five averages.
• The article suggests adding volume, momentum indicators, valuation measures, and company-specific context.
• No backtest or evidence of profitability is reported.

Tags

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