A Chinese Equity Screen Using Turnover, IPO Year, and P/E

Summary

The document describes a stock selection screen that combines a turnover range, a listing-year filter, and a price-to-earnings ceiling. Its stated logic selects stocks with turnover between 3% and 12%, an IPO year of 2021, and P/E below 20. It also gives an indicator formula using a recent average turnover measure and trailing P/E, plus sample Python snippets for retrieving and filtering securities.

The accompanying discussion identifies dependence on static metrics as a limitation: valuation and turnover filters may not adapt well to changing market conditions. It suggests adding measures such as price-to-book or dividend yield, and considering a changing earnings multiple such as trailing-twelve-month P/E. The document offers no backtest, benchmark, return data, or evidence that the screen improves selection accuracy; its logic and code examples therefore describe a filter rather than a validated trading strategy.

Key ideas

• The screen combines turnover, IPO year, and a P/E threshold to select equities.
• The stated turnover band is 3% to 12%, with the IPO year set to 2021 and P/E below 20.
• A sample indicator formula uses recent average turnover and trailing P/E.
• Static screening variables may fail to reflect changing market conditions.
• Additional valuation measures or dynamic P/E data are suggested, but no performance test is provided.

Tags

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