A Shenzhen Stock Screen Using Valuation and Early Price Gain Limits

Summary

This post outlines a Shenzhen main-board stock screen using valuation bounds and a cap on the stated 9:25 gain. It describes selecting stocks with price-to-earnings ratios no higher than 29.01 and price-to-book ratios no higher than 3.11, then filtering for a gain below 6%. The article also introduces a moving-average condition based on five averages, but its explanation is ambiguous: it counts closes above the 5-, 10-, 20-, 50-, and 200-day averages and then divides that count by five, making the stated requirement of five overlapping averages unclear.

The code is illustrative and does not provide a backtest, returns, or risk measurements. Its price-change filter compares open and close prices, which does not clearly implement the claimed 9:25 observation. As presented, the screening logic has internal inconsistencies, so it should be clarified and validated against the intended data fields and timing before use. The post does not establish that the criteria predict outperformance.

Key ideas

• The proposed screen combines Shenzhen main-board eligibility, valuation ceilings, and an early price-gain limit.
• The post also describes five moving averages, but its calculation does not clearly establish that they overlap.
• The sample price comparison does not clearly represent a 9:25 gain.
• No backtest or performance evidence is supplied, and the screening logic needs clarification.

Tags

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