A-Shares Screen Using Valuation Ratios, Trading Range, and Listing Board

Summary

This note presents a proposed screen for Shenzhen main-board shares that excludes Beijing-listed A-shares. Its initial conditions limit price-to-earnings and price-to-book ratios to stated ranges and require daily high-low amplitude above a threshold. An expanded version adds a moving-average condition and a minimum number of selected stocks; the example code also ranks candidates by market capitalization. The document provides rules and illustrative implementation references, but no backtest, return figures, or evidence that the filters improve results.

The author identifies possible weaknesses: the screen may omit broader company fundamentals, rely too heavily on two valuation measures, and become overly restrictive. Suggested improvements include adding further financial measures and market context, and loosening filters where needed. There is an internal inconsistency in the moving-average description: the prose says price should be above the average, while the indicator reference uses an average-above-price comparison. The amplitude thresholds also vary across the prose and examples. These definitions should be reconciled before any test or use.

Key ideas

• The initial screen combines valuation ranges, a daily amplitude threshold, and a board-based exclusion.
• The expanded proposal adds a moving-average condition and a minimum candidate count.
• The example ranks qualifying stocks by market capitalization.
• The moving-average direction and amplitude thresholds are inconsistent across sections.
• The note provides no evidence of strategy performance.

Tags

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