Screening Stocks by Trading Range and Persistent Return on Equity

Summary

The document outlines a stock screen combining a daily high-low range threshold, return on equity above a stated level for five consecutive years, and a selected company characteristic. It presents the range as a way to identify stocks with price movement and ROE as a profitability filter. Example indicator and Python snippets illustrate combining these conditions into a binary selector, but they do not report a tested portfolio or measured returns.

The author cautions that choosing company characteristics can be subjective, accounting measures may be managed, and ROE alone does not suit every business. Suggested refinements include adding valuation measures such as price-to-earnings and price-to-book, considering industry and company fundamentals, and assessing market conditions. The screening rules remain underspecified: the special company condition is a placeholder, the treatment of historical ROE data is unclear, and the examples do not establish that the screen has predictive value or survives costs and bias.

Key ideas

• The proposed screen combines price range, sustained ROE, and a company characteristic.
• The examples show how to combine multiple filters into a stock selector.
• The document identifies subjectivity and reliance on a single profitability metric as risks.
• Valuation, industry, and broader fundamental analysis are suggested as additions.
• No backtest or investment performance evidence is presented.

Tags

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