Screening Shenzhen A-Shares by Daily Decline, Range, and Valuation

Summary

This note proposes a screen for Shenzhen main-board stocks that combines a daily price decline between four and five percent with a price-range condition and valuation limits. The stated final rule also requires positive price-to-earnings and price-to-book ratios below specified upper bounds. In principle, this blends a sharp daily move with basic valuation filters to form a candidate list.

The document supplies a platform formula and Python example, but it reports no backtest, portfolio returns, or evidence that the combination predicts a rebound or improves risk-adjusted performance. There are inconsistencies between the title, explanatory text, and implementation: the title gives different valuation bounds from the stated rule, and the code includes an additional close-price threshold while using a high-to-low ratio for the range condition. The note flags changing fundamentals, capital flows, and macroeconomic conditions as risks, and says revenue growth is not considered. The selection criteria therefore need careful specification before results could be reproduced or evaluated.

Key ideas

• The proposed universe is Shenzhen main-board stocks meeting a specified daily decline and trading-range screen.
• Positive price-to-earnings and price-to-book values within upper limits form the valuation filters.
• The document provides sample formulas and code but no empirical performance results.
• The title, stated criteria, and code differ on valuation bounds and other screening details.
• The note identifies market flows, changing fundamentals, and omitted growth measures as limitations.

Tags

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