Shenzhen Stock Screen Using Price-to-Earnings and Price-to-Book Ranges

Summary

This screening method selects Shenzhen main-board stocks that have been listed for more than a year, show daily amplitude above 1, and fall within specified valuation ranges: price-to-earnings above zero and below 29.01, and price-to-book above zero and below 3.11. The accompanying explanation treats the amplitude filter as a way to find active shares and the listing-age filter as a rough stability screen. The code example sorts eligible shares by price-to-book and checks recent price movement.

The document presents no backtest, return data, or evidence that these thresholds identify undervalued or stable companies. It cautions that changing market conditions can make valuation bounds less relevant and suggests adding measures such as price-to-sales or dividend yield, with adjustments for industry differences. Its narrative and code do not fully align on the meaning of amplitude, and the screen does not establish portfolio construction, trading, or exit rules.

Key ideas

• The screen combines a daily amplitude threshold with a minimum listing age.
• It restricts price-to-earnings and price-to-book ratios to stated positive ranges.
• The code example ranks qualifying shares by price-to-book value.
• The document offers no historical performance evidence for its thresholds.
• It recommends considering other valuation measures and industry context.

Tags

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