Screening Shenzhen Stocks by Valuation, RSI, and Recent Returns

Summary

This post outlines a Chinese equity screen for Shenzhen main-board stocks. It combines a positive but bounded ten-day price gain with an RSI ceiling, a positive price-to-earnings ratio below a stated threshold, and a bounded price-to-book ratio. The accompanying example ranks candidates using market capitalization, turnover, and profit growth, and refers to adding industry- and region-specific conditions. This makes the screen a mix of recent price momentum, valuation filters, and company-level measures.

The post offers no backtest, benchmark comparison, or evidence that the conditions predict returns. It warns that market conditions and capital flows can affect results, that past price behavior may not persist, and that the rules omit sector and regional differences unless customized. The code reference also appears to use a moving-average field for the stated recent-return bounds, so the implementation should be checked against the intended ten-day return condition before use. The screen is therefore a starting specification, not a validated trading strategy.

Key ideas

• The proposed screen combines an RSI ceiling, valuation bounds, and a constrained ten-day gain.
• The universe is Shenzhen main-board equities, with industry and regional conditions suggested as possible refinements.
• The example ranks candidates using size, turnover, and profit-growth fields.
• The post provides no performance test or evidence that the screen produces excess returns.
• The code fields should be checked to ensure they implement the stated recent-return filter.

Tags

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