Shenzhen Stock Screen Using Auction Turnover, Amplitude, and Valuation

Summary

The document describes a daily screen for Shenzhen main-board stocks using amplitude above 1, the top five by auction amount, a price-to-earnings ratio from 0 to 29.01, and a price-to-book ratio from 0 to 3.11. It presents these filters as a way to find active stocks with valuation limits. The accompanying discussion notes that the screen may miss company performance and industry conditions, and that inaccurate financial statements could undermine valuation measures.

The article suggests adding checks for financial stability and assessing management and business models. It provides sample formula and Python references, but does not report backtest results or establish that the criteria predict returns. The examples also contain apparent inconsistencies with the stated rules, including code that tests trading amount rather than amplitude and may not implement the auction ranking as described. The screen is therefore a rule description, not evidence of a validated strategy.

Key ideas

• The screen combines an amplitude threshold with a top-five auction-amount ranking and valuation limits.
• It focuses on Shenzhen main-board stocks with specified price-to-earnings and price-to-book ranges.
• The article warns that financial ratios alone omit company and industry context.
• The sample implementation appears inconsistent with some of the stated screening conditions.

Tags

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