Screening Shenzhen Main Board Stocks by Range, Trend, and Valuation

Summary

This Chinese stock screen combines a daily price-range condition, a short-term trend filter, and valuation limits. It seeks Shenzhen Main Board stocks with amplitude above 1, a price above the five-day moving average, a price-to-earnings ratio between 0 and 29.01, and a price-to-book ratio between 0 and 3.11. The stated rationale is that price movement and trading above the moving average can identify active stocks with upward momentum, while valuation bounds may narrow the search to less expensive candidates. The post provides indicator formulas and sample code, but no historical test or measured returns.

The author cautions that widely followed fundamentals may already be reflected in prices, that simple filters can miss company-specific factors, and that a complex screen can encourage excessive focus on short-term gains. Suggested improvements include deeper company and industry research and consideration of macroeconomic conditions. The sample formulas and code contain differing amplitude thresholds and valuation definitions, so the intended implementation is not fully consistent. The screen is therefore a candidate-selection method, not evidence of long-term investment value.

Key ideas

• The screen combines amplitude, price above the five-day moving average, and price-to-earnings and price-to-book bounds.
• It targets stocks on the Shenzhen Main Board.
• The rationale blends short-term trend and valuation filters, without reporting test results.
• The post warns that simple quantitative filters may omit company fundamentals and changing market conditions.
• The example formulas and code use inconsistent definitions or thresholds that need review.

Tags

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