A Shenzhen Stock Screen Combining Turnover, Reversal Shape, and Valuation

Summary

This stock-selection proposal screens listed Shenzhen stocks using a turnover range of 3% to 12%, positive price-to-earnings ratios below 29.01, price-to-book ratios below 3.11, and a reversal-style price shape. Its reference implementation represents that shape with a range-based condition, requiring a calculated ratio no greater than 0.2. The screen combines trading activity, a technical pattern, and valuation filters rather than describing entry, exit, or position-sizing rules.

The accompanying rationale is that the valuation ranges may identify reasonably priced stocks while turnover indicates active trading. The document provides formula and data-processing examples, but no backtest results, benchmark, or evidence that these thresholds produce profitable selections. It cautions that the chosen valuation limits may be imprecise and that the screen omits other fundamental considerations; passing the filters does not imply stable future price appreciation. It suggests broadening fundamental checks and refining the thresholds, without evaluating those changes.

Key ideas

• The screen targets Shenzhen-listed stocks with turnover between 3% and 12% and specified positive valuation ranges.
• A range-based price ratio threshold is used as a proxy for a reversal-style pattern.
• The proposed rationale combines trading activity, technical shape, and valuation screening.
• No performance test is supplied, and passing the filters does not establish future gains.
• The author notes that valuation thresholds may be subjective and that other fundamentals are omitted.

Tags

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