Stock Screening with Price Range, Five-Year ROE, and Limit-Up Filters

Summary

This screening idea combines a daily high-low range threshold, consistently strong return on equity over five years, and a filter related to the previous day’s limit-up status. The stated rationale is to pair a measure of price movement with a longer-term profitability measure, while avoiding stocks that may be prone to a near-term pullback after a limit-up session. The page supplies example formulas and Python-style code, then proposes a broader version that adds recent price gains, trading activity, capital flows, and valuation measures.

No backtest, candidate list, or performance evidence is reported. The code examples appear inconsistent with parts of the written rule: one uses recent return and a prior-high comparison in addition to the stated conditions, and the data handling does not clearly demonstrate a five-year history for each stock. The author notes that excluding all recent limit-up stocks may discard further opportunities, that a small set of factors can be incomplete, and that sector or company differences need consideration.

Key ideas

• The initial screen combines daily price range, five-year ROE, and a prior-day limit-up exclusion.
• The proposed expanded screen also considers recent returns, trading data, and valuation.
• The article gives examples but reports no performance testing.
• Its code examples do not clearly match or fully implement the written selection rules.
• The screen may be too narrow and may exclude stocks that continue rising after a limit-up.

Tags

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