Stock Screening with Five-Year ROE, Moving Average Crosses, and Valuation

Summary

This stock selection example combines a daily price range threshold, return on equity above 15% for five consecutive years, and simultaneous upward crosses of the five-day moving average over the ten-, twenty-, and thirty-day averages. Its final proposed screen also requires price-to-earnings and price-to-book ratios below their industry averages. The article includes formula and Python-style examples that show how the conditions are intended to be combined.

The author describes the screen as balancing technical signals with profitability and relative valuation, and flags historical-data uncertainty, data processing errors, and weaker applicability for newer or persistently loss-making companies. It recommends adapting technical criteria to market conditions and adding risk controls such as stop losses. No backtest results or evidence of predictive performance are reported, and the supplied implementations may not fully align in how they evaluate crossovers and time-series conditions.

Key ideas

• The proposed screen requires five consecutive years of ROE above 15%.
• It combines a price range condition with simultaneous moving average crossovers.
• The final version adds below-industry-average PE and PB filters.
• The author warns that historical performance may not predict future results and that implementation errors are possible.
• The article reports no backtest evidence for the screen’s effectiveness.

Tags

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