A China A-Share Screen Combining Five-Day Trend and Valuation Filters
Summary
This stock-selection example screens Shenzhen main-board shares associated with the metaverse theme. Its stated criteria require price above the five-day moving average, positive price-to-earnings and price-to-book ratios, and upper bounds of 29.01 and 3.11 respectively. The accompanying explanation presents the moving-average condition as a short-term technical filter and the valuation limits as a way to avoid more expensive candidates. It also describes excluding other board segments as a way to narrow the universe by listing venue and risk profile.
The post flags a key limitation: relying heavily on short-term technical conditions may overlook business fundamentals and longer-term value. It suggests adding measures such as return on equity, gross margin, and earnings growth, and adjusting the screen to market conditions. The document provides formula and sample-code references, but no historical test, portfolio construction rules, transaction-cost assumptions, or evidence that the selection criteria outperform. Its prose and code example also differ in the moving-average window, so implementation details merit checking.
Key ideas
- The screen combines a metaverse industry classification with a price-above-five-day-average condition.
- It limits eligible shares to Shenzhen main-board listings and specified positive valuation ranges.
- The author cautions that short-term technical filters can underweight company fundamentals and long-term value.
- Suggested refinements include adding profitability and earnings-growth measures.
- No backtest or performance evidence is provided, and the sample code uses a different moving-average window than the stated rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.