A Periodic Value Stock Strategy Using Low Price-to-Book and Price-to-Earnings Ratios

Summary

This Chinese-language example describes a value-oriented stock selection strategy that refreshes its portfolio every 30 trading days. It selects stocks with positive price-to-book ratios below 1.5 and positive price-to-earnings ratios below 15, provided they have trading volume. Eligible stocks are bought at the open, and holdings that no longer qualify are sold at the close on the following day.

The construction outline covers defining a stock universe and test dates, creating the screening signal, removing records with missing data, and ranking candidates by valuation measures. At each rebalance, qualifying new holdings are bought, existing qualifying holdings are adjusted, and nonqualifying positions are sold; selected names receive equal capital allocations. The document describes a backtest workflow with transaction fees and slippage settings, but presents no performance results. Its screening rules and execution timing are examples rather than evidence of profitability, and it does not discuss broader portfolio risk or robustness across markets.

Key ideas

• The strategy refreshes its holdings every 30 trading days using valuation and activity filters.
• Eligible stocks have positive price-to-book and price-to-earnings ratios below the stated thresholds.
• New and retained qualifying holdings receive equal capital allocations at rebalance.
• The outline includes fees and slippage in simulation but supplies no performance evidence.

Tags

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