Screening Stocks by Trading Activity and Five Years of High ROE

Summary

This stock-selection approach combines market activity with a profitability screen. It looks for shares with amplitude above 1, turnover between 2% and 9%, and return on equity above 15% for five consecutive years. The article presents ROE as a way to identify firms with a record of profitability, while amplitude and turnover describe trading activity. It includes example formulas and code, though the examples do not fully establish how each condition is measured across the stated five-year period.

The article offers no backtest or performance evidence. It cautions that a high ROE screen omits other important financial measures, such as revenue and net income, and that selected shares may have already risen and could fall. It proposes considering additional growth and financial-risk measures, then applying technical filters and risk controls. The screen is therefore a basic starting point; the document does not demonstrate that it improves investment outcomes.

Key ideas

• The screen combines amplitude above 1 and turnover between 2% and 9% with ROE above 15% for five consecutive years.
• The approach uses trading activity and historical profitability as selection criteria.
• The article says that ROE alone leaves out other relevant measures, including revenue, earnings, and financial risk.
• It provides example formulas and code but no backtest or evidence of returns.

Tags

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