Stock Screening with Large-Order Flow and Five Years of High ROE

Summary

This Chinese stock selection idea combines amplitude above 1, a ranking based on net large-order volume, and return on equity above 15% for five consecutive years. The stated rationale pairs trading activity and large-order flow with a profitability measure intended to identify firms with sustained returns on equity. The document also suggests adding measures such as earnings growth, leverage, and cash flow, along with risk controls and position management.

It includes indicator and Python examples, but the technical formula shown does not directly express every headline condition, and the Python example uses price and volume tests as proxies. Those discrepancies limit reproducibility. The document notes that historical ROE may lag current conditions and that high ROE alone does not guarantee business quality; it supplies no backtest, benchmark, or performance results. The screen should therefore be read as a proposed filter rather than evidence of an effective strategy.

Key ideas

• The proposed screen combines amplitude, large-order net flow, and sustained high ROE.
• The rationale uses trading activity and order flow alongside a multi-year profitability measure.
• Suggested additional factors include earnings growth, debt levels, and cash flow.
• The displayed formula and code do not consistently implement all of the stated conditions.
• The document warns about stale ROE information and provides no performance evaluation.

Tags

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