Screening Stocks for Sustained ROE and Moderate Daily Moves

Summary

This Chinese-language post describes an equity screen combining daily price range, five years of return on equity above 15%, and a daily price change between −5% and 2.6%. It also proposes adding a price-to-book ratio no higher than five and revenue growth above 10%. The stated rationale is to pair evidence of sustained profitability with price filters, while the suggested additions bring valuation and growth into the screen.

The post lists risks: short-term price moves do not establish long-term potential, historical data may not predict future performance, and ROE screens may be less useful for new or loss-making businesses. It offers indicator formulas and a Python example, but the code does not consistently implement the stated method: its ROE and revenue-growth checks apply across all available observations, rather than clearly selecting five years, and its filters differ from parts of the written logic. No backtest results or performance evidence are provided, so the screen should be treated as a rule specification rather than a validated strategy.

Key ideas

• The proposed screen requires five consecutive years of ROE above 15%.
• It combines profitability with daily range and price-change filters.
• The suggested refinement adds price-to-book and revenue-growth thresholds.
• The post warns that historical screens may not generalize and can exclude newer or loss-making firms.
• The code examples do not fully match the written criteria.

Tags

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