Hong Kong -> Shenzhen -> Hong Kong

You did not mention your citizenship and that is sometimes of crucial importance.

Never mind... Your intention is simply not possible because 24 hour visa free transit implies that you are traveling from Hong Kong via China to a third country or eligible territory. You still have a solution called Shenzhen 5 days visa on arrival.

You are advised to arrive at Lo Wu (Luohu) border crossing even before the opening hours of visa office (09:00 - 16:30) and to apply for a Shenzhen visa on arrival right at visa office at Luohu border crossing. You need your passport and bring that invitation for a test in a testing center in Shenzhen. You will fill out a form and the official will take a photo of you. You will pay 130 CNY by card and after a short time a visa will be granted.

When you are done with the reason why did your arrive in Shenzhen you are free to return directly to Hong Kong by taking any border crossing and any mean of transport, direct, high speed train included. You cannot take a direct, high speed train from Hong Kong to Shenzhen, but you can take it back.

I hope this helps.