Chinese Stock Screening by Turnover, 10-Day Average, and Valuation

Summary

This document describes a Chinese equity screening rule for Shenzhen main-board stocks. It selects shares with turnover between 3% and 12%, an opening price within 5% of the 10-day simple moving average of closing prices, a price-to-earnings ratio from 0 to 29.01, and a price-to-book ratio from 0 to 3.11. The article includes equivalent screening logic in indicator-formula and Python examples.

The rationale combines trading activity, a price-level condition, and valuation filters. The source suggests that valuation ranges may help identify stocks it considers more attractive, but gives no backtest, performance data, or evidence that the thresholds improve returns. It also cautions that relying heavily on valuation can overlook a company’s financial condition and operations, and recommends adding company and industry analysis. The rule is therefore a screening recipe, not a complete investment process; its thresholds and market classification depend on the data and platform implementation.

Key ideas

• The screen requires turnover between 3% and 12%.
• The opening price must be within 5% of the 10-day average closing price.
• It limits the universe to Shenzhen main-board stocks with stated PE and PB ranges.
• The article provides indicator and Python examples but no performance evidence.
• Company fundamentals and industry conditions may be needed to supplement the filters.

Tags

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