Screening Stocks for Daily Range, Trading Activity, and Persistent ROE

Summary

This Chinese stock selection method looks for shares with a daily price range above 1%, prior-day trading activity above 60 million, and return on equity above 15% in each of the preceding five years. It combines a short-term price and liquidity filter with a multi-year profitability condition. The article includes example indicator logic and sample data code, but gives no backtest, comparison, or results showing whether the screen predicts returns.

The rationale is that the range and turnover conditions identify active stocks, while sustained ROE may indicate consistent profitability. The author cautions that a five-year ROE rule may not fit all industries and can exclude companies with uneven annual results; the combination of strict conditions may also reduce the candidate pool. Suggested improvements include adding other fundamental and technical measures or using a systematic multi-factor approach. These are proposals rather than tested enhancements, and the document does not specify portfolio construction, trading rules, or risk controls.

Key ideas

• The screen combines a daily range above 1%, prior-day trading activity above 60 million, and five consecutive years of ROE above 15%.
• The method pairs activity filters with a persistent profitability criterion.
• The article supplies example logic but no evidence of backtested performance.
• Industry differences and annual ROE variation may make the five-year condition unsuitable for some companies.
• Strict combined filters can limit the number and diversity of eligible stocks.

Tags

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