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

Summary

This stock screen selects Shenzhen Main Board shares using a mix of recent price activity, trading liquidity, and valuation. It requires an amplitude above 1, prior-day turnover above 60 million, a price-to-earnings ratio between 0 and 29.01, and a price-to-book ratio between 0 and 3.11. The accompanying examples describe calculating these conditions from market and company data, then combining them into a candidate list.

The rationale is to pair a technical activity and liquidity filter with fundamental valuation bounds. The document offers no backtest, performance evidence, or rationale for the particular thresholds, so the screen should be treated as a selection rule rather than a validated strategy. It also notes that restricting the universe to Shenzhen Main Board stocks excludes other markets and that narrow valuation bands may omit otherwise attractive companies. The sample code’s field usage and threshold units should be checked against the chosen data source before implementation.

Key ideas

• The screen combines price amplitude and prior-day turnover with PE and PB bounds.
• Its universe is limited to Shenzhen Main Board stocks.
• The stated valuation limits are positive PE below 29.01 and positive PB below 3.11.
• The document gives no evidence that the chosen thresholds improve returns.
• The narrow universe and valuation ranges may exclude other potentially relevant stocks.

Tags

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