Screening Shenzhen Stocks by Valuation, Amplitude, and Convertible Bonds

Summary

This document describes an A-share stock screen that selects Shenzhen main-board shares with daily price amplitude above 1%, a nonempty outstanding convertible-bond name, positive price-to-earnings ratio below 29.01, and positive price-to-book ratio below 3.11. It proposes ranking qualifying stocks by average daily trading amount. The article also provides an implementation outline and suggests adding growth measures such as revenue or profit growth, with technical indicators as possible supplementary filters.

The rationale is to combine price movement and valuation measures, but the document gives no performance results or empirical validation. It cautions that relying heavily on PE and PB can miss growth and earnings quality, and that fundamentals can be affected by market events. The accompanying Python example includes additional filters, such as price, region, and industry criteria, so it does not exactly match the stated headline screen. Data availability, point-in-time accuracy, and out-of-sample results are not discussed.

Key ideas

• The screen targets Shenzhen main-board stocks with amplitude above 1% and positive PE and PB below stated upper thresholds.
• A nonempty convertible-bond name is included as an eligibility condition.
• The proposed ranking uses average daily trading amount, favoring more actively traded candidates.
• The article recommends considering growth measures and technical indicators alongside valuation.
• No backtest evidence is given, and the sample implementation adds filters beyond the headline logic.

Tags

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