A Shenzhen Stock Screen Using Range, Price Limits, and Valuation Filters

Summary

This Chinese-language post outlines a stock-selection screen for Shenzhen main-board listings. It combines an amplitude threshold above 1, exclusion of ST-designated stocks, selection before 10 a.m., and a “five-part limit-up” condition with price-to-earnings ratios from 0 to below 29.01 and price-to-book ratios from 0 to below 3.11. The accompanying Python example operationalizes the filters using price fields, a rolling five-period closing-price maximum, a market identifier, and valuation data.

The post offers a screening recipe, not evidence that the resulting stocks outperform. It does not define the named limit-up method in detail or report a backtest, returns, transaction costs, or portfolio rules. It cautions that valuation cutoffs may be poorly calibrated and that omitting industry direction, company quality, and liquidity can produce biased selections. Those factors, as well as comparisons and validation, are suggested as ways to refine the screen.

Key ideas

• The screen targets Shenzhen main-board stocks and excludes names containing the ST designation.
• It combines an amplitude filter and a morning selection time with valuation thresholds.
• The example represents the five-period price condition as a close equal to its rolling five-period maximum.
• The post gives no performance results and warns that valuation alone omits relevant company and market factors.

Tags

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