Shenzhen Stocks Screened by Moving-Average Trend and Valuation
Summary
This stock screen combines a capital-flow measure with valuation and trend filters. It favors Shenzhen main-board stocks with price-to-earnings ratios from 0 to 29.01 and price-to-book ratios from 0 to 3.11, then requires the 20-day moving average to be above the 120-day average. Capital strength is assessed using measures such as trading value or turnover, with preference for stocks showing stronger inflows.
The document explains the rationale for combining these signals: valuation bounds are intended to avoid extremes, while the moving-average relationship indicates an established price trend. It gives no backtest, performance statistics, or detailed definition of how the capital-strength measure is calculated. The author notes that flows can reflect sentiment or policy, valuation ranges vary across industries and market conditions, and a positive moving-average relationship does not ensure future gains. It suggests adding technical or fundamental indicators and adjusting thresholds to the market context.
Key ideas
- The screen selects Shenzhen main-board stocks using price-to-earnings and price-to-book bounds.
- It requires the 20-day moving average to exceed the 120-day moving average.
- It prefers stocks with stronger capital-flow measures, such as trading value or turnover.
- The document provides rationale and risks but no empirical performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.