A Chinese Stock Screen Using Turnover, Price Gains, and Positive PE

Summary

The document describes a Chinese equity screen that selects stocks with turnover rates from 3% to 12%, positive ten-day gains below 35%, and a positive price-to-earnings ratio. Its accompanying Python example outlines additional universe filters, including excluding certain exchange boards, stocks flagged as ST, and companies listed for less than a year. The example refers to daily market data and valuation data to apply the conditions.

The post offers no backtest, performance figures, or evidence that the screen identifies high-quality stocks. It cautions that PE alone is an incomplete measure of value and that the rules omit fundamentals and industry context. It also recommends adding broader factors and risk controls. The code’s date handling and some threshold checks may not precisely implement the stated ten-day return and percentage ranges, so the example should be checked before use.

Key ideas

• The screen combines turnover, recent price gains, and positive PE as stock selection criteria.
• The example also filters out certain listings, ST stocks, and recently listed companies.
• The post provides no performance evidence for the screening rules.
• PE and price-based filters alone can miss fundamental and industry information.
• The sample implementation should be checked against the intended return period and thresholds.

Tags

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