Stock Screening with High ROE, Price Range, and Turnover Filters

Summary

This article presents an equity screen combining three conditions: price range greater than one, return on equity above 15% in each of the prior five years, and turnover between 3% and 12%. It frames the filters as a way to find companies with sustained profitability and moderate trading activity, alongside recent price movement. It includes example indicator logic and a Python outline for applying the filters to market data.

The article warns that the screen omits other fundamentals and relies on historical data, which may not predict future performance. It suggests adding measures such as leverage and revenue growth, and evaluating the approach with cross-validation. It supplies no backtest results or evidence that the selected thresholds produce superior returns; the code examples also depend on data definitions and implementation details that are not fully established in the text.

Key ideas

• The proposed screen requires price range above one, five years of ROE above 15%, and turnover from 3% to 12%.
• The article combines a price movement filter with profitability and trading activity filters.
• It provides example implementations in a charting formula and Python.
• The screen may omit relevant fundamentals and depends on historical data.
• No performance results are provided to validate the thresholds.

Tags

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