Screening Shenzhen Main Board Stocks with Amplitude, MACD, and Valuation

Summary

This note outlines a screen for Shenzhen Main Board equities using price amplitude above 1, MACD crossing above zero, positive price-to-earnings below 29.01, and positive price-to-book below 3.11. The intended combination pairs a volatility filter and a bullish momentum signal with valuation limits. Formula and Python examples are supplied as implementation references, although the Python snippet is schematic and does not fully define its data inputs or indicator functions.

The document argues that amplitude identifies more active price movement, MACD above zero indicates a favorable signal, and valuation limits may filter out some expensive or weak candidates. It provides no historical test or performance evidence. It cautions that stacking valuation conditions can make the candidate set too narrow and may exclude other attractive stocks. It suggests incorporating additional financial measures such as return on equity and leverage, while checking that the resulting screen remains practical to trade.

Key ideas

• The screen requires amplitude above 1 and a bullish MACD zero-line cross.
• It limits price-to-earnings to below 29.01 and price-to-book to below 3.11, with both positive.
• The note recommends considering other company financial measures alongside valuation ratios.
• No backtest is reported, and the document warns that restrictive filters can exclude candidates.

Tags

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