Stock Screening with ROE, Trading Range, and Institutional Holdings

Summary

The document presents a stock selection screen combining a daily high-low range threshold, five consecutive years of return on equity above 15%, and positive institutional ownership or activity. It then proposes additional filters: a bullish MACD relationship and turnover below 5%. The conditions are described as combining price behavior, company profitability, institutional participation, and trading activity. The document includes formula and Python examples, but they differ in details: the Python ROE check applies to all available grouped observations rather than explicitly selecting five years, and the turnover comparison is expressed as a decimal fraction.

The discussion warns that historical results may not persist, institutional positioning can change, and ROE can be less informative for newer or loss-making businesses. It suggests adding other technical indicators and broader measures of financial strength. No backtest performance, sample definition, rebalancing rules, or transaction cost analysis is provided, so the screen should be treated as a selection recipe rather than evidence of profitable returns.

Key ideas

• The initial screen combines a large price range with five years of elevated ROE and positive institutional participation.
• The expanded version adds a MACD condition and a turnover ceiling.
• The formula and Python examples contain differences in how the ROE history and turnover threshold are represented.
• The document identifies changing institutional activity and limitations of ROE as risks.
• No performance evidence or implementation details such as rebalancing and costs are supplied.

Tags

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