Screening Shenzhen Main Board Stocks by Amplitude, Institutional Activity, and Valuation
Summary
This stock selection recipe combines trading activity, institutional participation, exchange segment, and valuation. It selects Shenzhen Main Board stocks after the close when the five-day amplitude measure is above 1, institutional participation exceeds 30, price-to-earnings is positive and below 29.01, and price-to-book is positive and below 3.11. The article frames the screen as a way to find moderately valued companies with institutional interest.
The document provides conditions and illustrative formula and Python snippets, but no historical performance, benchmark, or evidence that the screen predicts returns. It also notes that macroeconomic and policy risks, market risk, and implementation risk are outside the rules. The proposed filters are starting points; the article suggests combining them with other approaches or a multifactor model. Data definitions, signal timing, and the operational correctness of the sample code would need independent validation before use.
Key ideas
- The screen requires five-day amplitude above 1 and institutional participation above 30.
- It restricts candidates to Shenzhen Main Board stocks with positive price-to-earnings below 29.01 and positive price-to-book below 3.11.
- Selection is performed after the market close.
- The article supplies rule examples but no backtest or return evidence.
- Macro, policy, market, and operational risks are not modeled.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.