Screening Shenzhen Main Board Stocks by Amplitude and Valuation

Summary

This post describes a daily stock screen for Shenzhen Main Board listings. It selects stocks with price amplitude above one, excludes stocks that closed at the daily limit-up on the prior session, and applies positive price-to-earnings and price-to-book ranges capped at 29.01 and 3.11, respectively. The stated intent is to combine a simple trading-activity filter with valuation constraints.

The post offers little evidence that the screen predicts returns: it provides no backtest, benchmark, holding period, rebalance rule, or transaction-cost assessment. Its accompanying explanation acknowledges that valuation can vary with industry stage and market risk appetite, and suggests adding industry, market, financial, and company-performance information. The code reference appears inconsistent with the written screen, including an apparent mismatch between market fields and the stated exchange universe, so implementation details need verification before use. The criteria are best understood as a proposed screening rule rather than a validated investment strategy.

Key ideas

• The screen targets Shenzhen Main Board stocks using amplitude and valuation filters.
• It excludes stocks that were limit-up on the previous day.
• The stated valuation bounds are positive price-to-earnings below 29.01 and price-to-book below 3.11.
• The post supplies no backtest or evidence of predictive performance.
• Its code example may not implement the written criteria consistently.

Tags

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