Stock Screening with Five-Year ROE and MACD Filters

Summary

This stock-selection approach combines a price-range condition with profitability and trend filters. It selects stocks whose recent high-low range exceeds a volatility measure, whose return on equity has stayed above the stated threshold for five years, and whose MACD is above zero. The article gives example indicator logic and sample implementations for applying the combined conditions to market data.

The author presents the mix as a way to pair company profitability with recent price behavior, and suggests broadening the fundamental review and checking MACD alongside other indicators. No backtest results, transaction costs, universe definition, or evidence of predictive performance are provided. The examples also leave implementation details that need care: the prose describes amplitude as greater than one, while the sample formula compares the daily range with ATR, and the Python example uses a different ROE threshold representation. Those choices should be resolved before interpreting or reproducing results.

Key ideas

• The screen combines a price-range condition, five years of elevated ROE, and positive MACD.
• The examples use ATR to evaluate the high-low range and MACD with standard lookback settings.
• The article recommends adding fundamental checks and corroborating MACD with other indicators.
• It reports no performance evidence, and its prose and code differ in how the range condition is defined.

Tags

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