Stock Screening with Turnover, DEA Trend, and Sustained ROE

Summary

This stock screen combines a turnover range of 3% to 12%, a rising DEA condition, and a profitability filter based on ROE. The initial description requires ROE above 15% for five consecutive years, while the proposed final screen and formula retain that five-year criterion in some places and mention a three-year alternative elsewhere. The supplied indicator expression uses moving-average relationships to represent the DEA condition, and the article includes sample selection logic.

The rationale is to balance trading activity, an upward technical trend, and sustained returns on equity. The author warns that a strict ROE history can exclude otherwise promising companies and that the resulting universe may be small; the suggested refinement is to use three years of ROE and consider valuation measures such as price-to-earnings or price-to-book. No backtest or performance evidence is supplied, and the example Python selection conditions appear to check positive ROE rather than the stated 15% threshold, so implementations should be reconciled before use.

Key ideas

• The proposed screen requires turnover between 3% and 12%, a rising DEA condition, and a multi-year ROE test.
• The document gives inconsistent descriptions of whether the ROE history should span three or five years.
• The sample Python logic checks positive ROE values and does not match the stated 15% threshold.
• The author suggests loosening the ROE history and adding valuation measures.
• No backtest results are provided, so the selection rule has not been shown to produce returns.

Tags

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