A Seven-Day Decline Screen with Turnover and Valuation Limits

Summary

This Chinese-market stock screen looks for Shenzhen main-board companies with turnover between 3% and 12%, seven consecutive declining sessions, a price-to-earnings ratio above zero and below 29.01, and a price-to-book ratio above zero and below 3.11. The conditions combine recent price weakness and trading activity with valuation limits. The document provides screening formulas and a Python example, while noting that data-field names may need adjustment for a particular source.

The screen is presented as a way to find relatively low-valuation stocks after a sustained decline. No backtest, return data, or evidence of subsequent reversal is reported, so the rules should not be taken as proof that the stocks are undervalued or likely to rebound. The document warns that exchange classification can create label-based selection bias and that PE and PB need to be considered alongside company performance and price behavior. It suggests adding other fundamental and technical measures. The screen is thus a candidate filter, with no explicit entry timing, exit rule, or portfolio risk controls.

Key ideas

• The screen requires turnover between 3% and 12% and seven consecutive down sessions.
• It is restricted to Shenzhen main-board stocks.
• The valuation filters require positive PE below 29.01 and positive PB below 3.11.
• The document gives formulas and a Python implementation but reports no performance evidence.
• It cautions that exchange labels and valuation ratios alone do not establish investment quality.

Tags

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