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Yes it's possible but you might want a multiple entry visa into China everyday. There are a few different gates to enter Shenzhen.
Lo Wu
Futian (Lok Ma Chau)
Huanggang

I personally likes the gate at Futian. You can take the mtr light blue line all the way to the north end station.
Both Lo Wu and Lok Ma Chau will lead you to Shenzhen boarder.
Let me know if you need more help

Thank you for your answer, amylaikt.
It's all very hypothetical for the moment. My wife may be posted in Hong kong next year and I've seen this week a job offer that could match with my skills. I was wondering if it was worthless or not to apply... I will apply then.
How long does take the trip every day?
Thanks again for your help.

It depends where you live... Let's say if you live in the new territories it could just take as little as 15-20 minutes. Also it depends on the queue in the immigration. But if you live in HK island or near the airport that could take an hour at least. So yea it just all depends on where you are staying.

It depends where you're going in Hong Kong.  Just crossing the border can be done a million different ways.  Shenzhen to Tai Wo is a lot faster than Shenzhen to Aberdeen.

Ok Thank you. that's what I wanted to know. Even if it's one hour, it's not as bad as I imagined.
I really hope we'll do the move here

Good luck Didier!