Screening Shenzhen Stocks by Volatility, Size, and Valuation

Summary

This document describes a rules-based screen for listed Shenzhen main-board shares. It combines a minimum trading-range amplitude with a circulating market capitalization above 10 billion yuan, a price-to-earnings ratio from zero to 29.01, and a price-to-book ratio from zero to 3.11. The accompanying discussion presents volatility, company size, and valuation as complementary selection factors. It also provides example indicator logic and a Python implementation outline for applying the filters.

The document gives no backtest, portfolio construction rules, holding period, entry or exit method, or performance evidence. Its code example's amplitude calculation and data fields should be checked against the intended definition and data source before use. The author notes that valuation constraints can exclude fast-growing companies and that strict amplitude requirements may be unsuitable in changing markets. Combining other indicators and considering sector context are suggested as possible refinements, but no validation is reported.

Key ideas

• The screen selects Shenzhen main-board stocks using amplitude, circulating market value, price-to-earnings, and price-to-book criteria.
• The valuation bounds are intended to constrain the candidate set by accounting multiples.
• The post includes example logic for expressing the filters in indicator syntax and Python.
• No evidence is given that the screen produces positive returns or controls portfolio risk.
• The document identifies missed growth stocks and sensitivity to market conditions as potential weaknesses.

Tags

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