Screening Shenzhen Main Board Stocks with Weekly MA Crossovers and Valuation Filters

Summary

This stock-selection approach combines a price-movement filter, a weekly moving-average crossover, and valuation bounds. It screens Shenzhen Main Board stocks for amplitude above 1, a weekly five-period moving average crossing above the ten-period average, a price-to-earnings ratio from 0 to 29.01, and a price-to-book ratio from 0 to 3.11. The stated rationale is to combine technical strength with comparatively constrained valuation measures.

The document supplies formulas for amplitude, moving averages, and valuation ratios, plus a Python example intended to illustrate implementation. It provides no backtest results or evidence that the screen lowers risk or identifies long-term winners. The author notes that valuation and company classification involve judgment, and that valuation data should be updated. The code’s shown filters and data handling do not fully align with the stated weekly crossover and board universe, so implementation details require review before use. The thresholds may also need adjustment for market and industry conditions.

Key ideas

• The screen combines amplitude, a weekly moving-average crossover, and valuation limits.
• It selects Shenzhen Main Board stocks with P/E between 0 and 29.01 and P/B between 0 and 3.11.
• The stated rationale is to combine price trend with valuation measures.
• The document warns that screening criteria can involve subjective choices and require updated data.
• No backtest evidence is presented, and the sample code may not exactly implement the described rules.

Tags

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