Shenzhen Stock Screening with a Rising 30-Day Average and Valuation Filters
Summary
This screening method targets Shenzhen main-board stocks using a rising 30-day moving average, an amplitude threshold, and valuation ranges. The stated criteria are amplitude above 1%, price-to-earnings ratio from 0 to 29.01, and price-to-book ratio from 0 to 3.11. The article also presents formula and Python examples that add checks such as trading activity and price behavior, so the implementation is not perfectly identical to the summarized rule.
The author notes that a 30-day trend may miss longer-term price direction, broad valuation thresholds may admit low-quality firms, and restricting the universe to one board creates concentration risk. Suggested improvements include checking longer moving averages, refining valuation and amplitude cutoffs, and diversifying across market segments. No backtest results are supplied; the screening rules alone do not establish profitability.
Key ideas
- The screen focuses on Shenzhen main-board equities.\nIt combines a rising 30-day moving average with amplitude above 1%.\nThe stated valuation filters cap the price-to-earnings ratio at 29.01 and price-to-book ratio at 3.11.\nThe article identifies short trend history, coarse thresholds, and board concentration as limitations.\nLonger trend measures and more refined filters are suggested, but no performance evidence is reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.