A Chinese Equity Screen Combining Price, Amplitude, and Valuation

Summary

This post proposes a rules-based screen for Shenzhen-listed stocks. It combines an intraday amplitude threshold with an exact closing-price condition, and filters for positive trailing price-to-earnings and price-to-book ratios below specified upper bounds. The described approach is a simple cross-sectional selection rule, rather than a complete portfolio or trading system. A code example also includes moving-average trend checks and sorts qualifying stocks by trading activity, adding conditions beyond the short screen description.

The post offers no backtest, portfolio construction details, transaction-cost analysis, or evidence that the criteria predict future returns. It acknowledges that valuation ratios alone omit company finances, management, and industry prospects, and suggests considering broader fundamental and market information. There are also inconsistencies between the headline and body about the exact price threshold, and between the stated selection logic and the extra checks in the code example. Treat the screen as an informal template whose conditions need to be reconciled and independently tested before use.

Key ideas

• The proposed screen combines price amplitude, a specific closing price, exchange listing, and valuation ratio bounds.
• The accompanying code adds moving-average trend conditions and ranks candidates by trading activity.
• The post supplies no backtest or evidence that the screening rules generate positive returns.
• Valuation ratios do not capture company quality, management, industry prospects, or other relevant risks.
• The prose and code differ in their stated conditions, so the intended screen needs clarification before implementation.

Tags

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