Screening Stocks with High Historical ROE and a Weekly Moving Average Cross

Summary

This stock screen combines three conditions: daily trading range above a threshold, return on equity above 15% in each of five years, and a weekly crossover of the five-period moving average above the ten-period average. The rationale pairs a profitability filter with a price-based signal intended to identify short-term strength. The document also sketches screening logic in indicator and Python examples.

It reports that backtested performance is unstable, but supplies no returns, benchmark, sample period, or test design. It cautions that the approach relies heavily on technical analysis and may require timely entries and exits. Suggested refinements include adding valuation measures and filters for price change and signal persistence, then adjusting holdings periodically. Those additions are proposals rather than validated improvements; the supplied examples also leave details such as data frequency and the exact interpretation of the range threshold unclear.

Key ideas

• The screen combines a trading-range threshold, five consecutive years of elevated ROE, and a weekly moving average crossover.
• The fundamental filter is intended to select profitable companies, while the crossover is used as a short-term price signal.
• The document says backtested performance is unstable but gives no test setup or numerical results.
• It proposes adding valuation and persistence filters and adjusting selections over time, without evidence that these changes improve performance.

Tags

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