Shenzhen Value Stocks with a 20-Day Trend Filter and RSI Cap

Summary

The screen targets Shenzhen Main Board stocks with positive price-to-earnings ratios below 29.01 and price-to-book ratios below 3.11. It adds two technical conditions: the 20-day moving average must exceed the 120-day moving average, and the relative strength index must be below 65. The post frames the moving-average relationship as evidence of an upward intermediate trend and the RSI ceiling as a way to avoid shares with high readings.

The article gives formula examples and a Python outline for retrieving listed shares and applying the valuation and indicator filters. It warns that the resulting universe may be small or illiquid and that sector behavior can lead the screen toward poorly timed selections. It suggests considering other indicators, including momentum and average true range, and reviewing sector conditions, while noting broader market and policy risks. The post supplies no backtest, portfolio rules, transaction-cost assumptions, or results, so it does not establish the screen’s profitability or robustness.

Key ideas

• Qualifying shares must be on the Shenzhen Main Board and meet the stated price-to-earnings and price-to-book bounds.
• The 20-day moving average must be above the 120-day moving average.
• The screen caps the 14-period RSI below 65.
• The post identifies small candidate counts, weak liquidity, and sector effects as risks.
• No backtest or execution assumptions are provided to validate the strategy.

Tags

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