A-Share Screening by Turnover and Positive P/E

Summary

This note describes a basic Chinese A-share stock screen. It selects stocks with turnover between 3% and 12%, excludes Beijing-listed A shares, and requires a positive price-to-earnings ratio. The accompanying explanation treats positive P/E as a basic profitability filter and the turnover band as a way to avoid unusually high trading activity. A Python example is included to illustrate retrieving daily basic data and applying the conditions; the document does not report performance results or a backtest.

The screen has clear limits: P/E alone does not establish value or business quality, and positive earnings do not rule out weak companies. The turnover constraint can also exclude otherwise attractive stocks. The note recommends adding further valuation and fundamental measures, such as other valuation ratios and company financial condition. It does not specify portfolio construction, rebalancing, transaction costs, or how to handle missing data, so it is best understood as a candidate-selection rule rather than a complete trading strategy.

Key ideas

• The screen requires turnover between 3% and 12% and excludes Beijing-listed A shares.
• Stocks must also have a positive price-to-earnings ratio.
• The document cautions that positive P/E does not guarantee investment quality.
• Additional financial and valuation measures could make the screen more informative.

Tags

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