Screening Shenzhen Main Board Stocks by Amplitude and Valuation

Summary

This document outlines a short-term stock selection screen for Shenzhen Main Board shares. It combines a daily amplitude threshold above one with a condition described as main-force control on the prior day, then filters for price-to-earnings ratios from zero to 29.01 and price-to-book ratios from zero to 3.11. The stated intent is to combine a market activity signal with valuation filters.

The article also includes a Python example that filters a market data table by volume, amplitude, turnover, positive earnings multiple, ownership and listing-related fields, and the valuation ranges. Some example conditions differ from the prose, and the code’s fields and thresholds are not fully reconciled with the stated screen. No backtest, return series, benchmark, or evidence of the proposed edge is provided. The article itself flags short-term focus, market fluctuations, and narrow company or industry selection as risks, and suggests considering further fundamentals and adjusting for market conditions. These caveats leave the screen as a proposed heuristic rather than a validated strategy.

Key ideas

• The proposed screen combines prior-day control and amplitude with valuation limits for Shenzhen Main Board stocks.
• The stated valuation filters cap price-to-earnings at 29.01 and price-to-book at 3.11, with both ratios bounded below by zero.
• The accompanying code includes additional market activity and stock eligibility filters, and does not fully match the prose description.
• The document provides no backtest or performance evidence for the screen.
• The article notes that short-term focus and narrow selection can create risks and suggests incorporating more company fundamentals.

Tags

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