Chinese Stock Screen Using Price Amplitude, the 10-Day Average, and Valuation

Summary

This document describes a screen for Shenzhen main-board stocks combining daily price movement, opening price relative to the 10-day moving average, and valuation limits. It seeks stocks with amplitude above 1%, an open within 5% of the moving average, positive price-to-earnings below 29.01, and positive price-to-book below 3.11. The article includes example indicator and Python logic for intersecting those conditions, but reports no backtest or performance results.

The author presents larger amplitude as a possible sign of an emerging trend and an open near the moving average as a sign of adjustment. Valuation filters are intended to find comparatively inexpensive companies. These interpretations are not supported by empirical evidence in the document. It cautions that accounting quality, uncertain prospects, changing valuations, and reliance on valuation ratios can mislead. Suggested improvements include considering fundamentals and growth, broadening the stock pool, and applying staged screening, ranking, allocation, and exit decisions.

Key ideas

• The screen combines amplitude above 1% with an opening price within 5% of the 10-day moving average.
• It filters for positive price-to-earnings below 29.01 and positive price-to-book below 3.11.
• The example logic intersects the price and valuation filters to produce candidates.
• The document gives no performance evidence and warns that valuation ratios alone can be unreliable.

Tags

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