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It is not possible, you have to obtain a multiple-entry visa in advance.

Indeed, a multiple entry visa is really advised if you really plan to cross the border so often. However, there an option with 5 days Shenzhen visa on arrival. You can obtain this visa on several, designated border crossings, but the best one is to take the first morning ferry from Hong Kong to Shekou port in Shenzhen and to obtain a visa on arrival at Shekou visa office. It would be possible to apply and successfully obtain two Shenzhen visas in a row, but I doubt that the third one would be successful.