Screening Shenzhen Main Board Stocks by Valuation and 10-Day Return

Summary

The document describes a Chinese equity screen for Shenzhen Main Board stocks. It selects stocks with amplitude above 1, price-to-earnings ratios from 0 to 29.01, price-to-book ratios from 0 to 3.11, and 10-day returns above 0 but below 35. The author frames the return filter as a way to identify recent strength alongside basic valuation criteria.

The article outlines risks from changing fundamentals, market and sector conditions, and reliance on only a few simple measures. It suggests adding financial and technical indicators, considering market trends, and defining more detailed entry and exit rules. It provides formula and Python examples, but no backtest, performance evidence, or complete trading plan. The code’s data fields and return calculation would need checking against the intended definitions before use.

Key ideas

• The screen combines Shenzhen Main Board eligibility with valuation, amplitude, and 10-day return filters.
• It constrains price-to-earnings and price-to-book ratios to stated ranges.
• The author presents recent positive returns as a short-term strength filter.
• The article identifies market shifts and sparse fundamental analysis as limitations.
• No backtest or evidence of profitability is provided.

Tags

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