Screening Stocks by Trading Range, Five-Year ROE, and MACD Direction

Summary

The article proposes screening equities for a daily high–low range greater than one, return on equity above 15% for each of the prior five years, and an upward-moving average pattern. It frames the range condition as a way to find more active shares, the ROE history as a profitability filter, and the moving-average behavior as a short-term trend signal. Its revised version replaces the broad moving-average criterion with a positive MACD crossover condition and suggests adding checks such as valuation safety and trading volume.

The article provides example screening logic and code references, but no backtest, portfolio results, or evidence that the combined filters improve returns. It also acknowledges that moving-average signals can be false, that short-term technical conditions may not reflect durable trends, and that the screen omits broader market and company-specific factors. The range threshold’s units and the precise meaning of upward-diverging averages are not fully defined, so implementation requires clarification against the chosen data and platform.

Key ideas

• The proposed screen combines a daily high–low range threshold with sustained five-year ROE above 15%.
• The initial technical condition is upward divergence among moving averages, while the revision uses a bullish MACD condition.
• The article suggests adding trading volume, valuation safety, financial data, and announcements to the selection process.
• The author warns that broad moving-average rules can produce false signals and do not establish a lasting trend.
• No backtest or investment performance evidence is provided, and some screening definitions need clarification.

Tags

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