Screening Shenzhen Main Board Stocks by Range and Valuation

Summary

This document describes a Chinese equity screening rule that selects Shenzhen main-board stocks with daily amplitude above 1%, a year filter for 2021, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. It provides both an indicator-formula outline and Python-style reference code for applying the filters and retrieving financial data. The resulting stocks are proposed as a candidate investment pool, rather than as automatic buy signals.

The accompanying rationale treats higher amplitude as a sign of greater price movement and uses valuation ranges to seek comparatively inexpensive shares. It also acknowledges that the valuation thresholds are subjective and that volatile stocks carry market risk, suggesting weighted valuation inputs and stop or target levels as possible refinements. No backtest, benchmark comparison, or return evidence is presented. The data retrieval and valuation timing are not fully discussed, so the screen’s historical consistency and practical performance cannot be inferred from the description.

Key ideas

• The screen combines daily amplitude, a 2021 date filter, Shenzhen main-board membership, and specified PE and PB bands.
• The output is a watchlist or candidate pool, not a complete entry and exit strategy.
• The document frames amplitude as volatility and PE and PB ranges as valuation filters.
• It notes that threshold choices are subjective and offers risk controls and weighted valuation as possible refinements.
• No performance evaluation or benchmark comparison is included.

Tags

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