Stock Screening with Daily Range, Moving-Average Crossover, and Five-Year ROE

Summary

This proposed stock screen combines a daily volatility filter, a price trend signal, and a profitability criterion. It looks for stocks with an intraday range above 1%, a close crossing above a five-period moving average, and return on equity above 15% for five consecutive years. The note presents these conditions as a way to pair recent price behavior with sustained profitability.

No historical test or performance results are supplied. The author cautions that the screen leaves out macroeconomic and industry conditions and may overlook other sources of risk. Broader market and industry factors are suggested as additions. There is also a mismatch in the examples: the written rule specifies five years of qualifying ROE, while the sample code appears to check a single year's ROE; the moving-average description also varies between a weekly average and a five-period average. These details would need clarification and validation before the screen could be evaluated.

Key ideas

• The proposed filter requires an intraday range above 1% and a close crossing above a five-period moving average.
• It also requires ROE above 15% for five consecutive years.
• The screen combines a price signal with a multi-year profitability measure but has no reported test results.
• The description and sample code differ on the ROE history and moving-average definition.

Tags

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