Filtering Shenzhen Main Board Stocks by Volatility, Price Spikes, and Valuation

Summary

This note describes a Chinese equity screen combining price movement with valuation. It selects Shenzhen Main Board stocks with an amplitude above 1, at least one daily gain of 10% or more during the prior 25 trading days, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. It also suggests ranking qualifying stocks by market heat and adding other technical and market conditions.

The document offers indicator and Python examples, but the examples do not fully match the stated rules: the formula uses a one-day return check, and the code snippets leave an additional condition unspecified. No backtest results or performance evidence are provided. The author notes that fundamentals and valuations can shift during crises or major events, and that omitting technical and broader market factors may constrain selections. The screen is therefore a candidate-generation recipe, not evidence of profitability; its thresholds and additional filters would need evaluation against the intended market and period.

Key ideas

• The screen combines price amplitude, a recent large daily gain, and valuation bounds for Shenzhen Main Board stocks.
• It sets price-to-earnings and price-to-book ranges from zero to 29.01 and 3.11, respectively.
• The examples do not implement the full written rule consistently, and one proposed filter is left unspecified.
• The document reports no backtest evidence and warns that valuations and market conditions can change.

Tags

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