Screening Stocks by Trading Range, Five-Year ROE, and RSI

Summary

This stock screen combines a daily range condition with sustained profitability and a momentum indicator. It selects shares whose high–low range exceeds an ATR-based threshold, whose return on equity stayed above 15% across five years, and whose 14-period RSI is below 65. The accompanying examples show how the conditions can be combined into a selector in a charting formula or a data workflow.

The rationale is to pair a company quality measure with a price condition and a limit intended to avoid more extended RSI readings. The document recommends controlling position size and suggests supplementing ROE and RSI with other company quality measures and trend indicators. It offers no backtest, universe definition, transaction-cost analysis, or evidence that the screen predicts returns. The implementation details also leave room for interpretation, including the units of the range threshold and how five years of ROE observations are aligned to each stock.

Key ideas

• The screen requires five consecutive years of ROE above 15% and a 14-period RSI below 65.
• Its range condition compares the high–low move with ATR over 14 periods.
• The proposed rationale combines company profitability with price behavior.
• The document cautions that strong historical ROE does not ensure future stock performance.
• It suggests adding other quality and trend measures, but supplies no performance test.

Tags

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