Shenzhen Stock Screen Using Range, Highs, and Valuation

Summary

This proposed stock screen combines a daily price-range condition with a short-term high and two valuation limits. It selects Shenzhen main-board stocks whose amplitude exceeds one percent, whose current high equals the highest high over the current and previous day, and whose price-to-earnings and price-to-book ratios are at or below the stated thresholds. The document frames the price conditions as a way to find strong stocks and the valuation filters as a basic value-oriented constraint.

The note acknowledges that the screen uses only a small set of fundamentals and excludes stocks from other boards. It suggests adding measures such as return on equity and earnings per share, as well as broadening the universe. However, it provides no historical test, ranking method, portfolio rules, or evidence that the proposed filters improve returns. Its final wording refers to additional factors and a wider universe without defining them, so those changes are not reproducible from the provided logic. The code examples are illustrative and may need platform-specific adjustments.

Key ideas

• The screen combines a price-amplitude threshold with a two-day high condition.
• It limits the universe to Shenzhen main-board stocks and applies price-to-earnings and price-to-book ceilings.
• The proposed filters cover only a narrow set of technical and fundamental characteristics.
• The note recommends considering additional fundamentals and a broader stock universe.
• No backtest or evidence of investment performance is reported.

Tags

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