Chinese Stock Screening by Turnover, Valuation, and Share Code

Summary

This document proposes screening Chinese shares using turnover between 3% and 12%, a share code beginning with 60, a price-to-earnings ratio between zero and 29.01, and a price-to-book ratio no higher than 3.11. It presents the rules as a mix of trading activity, code-based selection, and valuation filters. The accompanying example also adds a share-price ceiling of 12, although that condition is absent from the prose description. No backtest, portfolio results, or evidence of predictive value is reported.

The article warns that focusing on valuation measures may overlook market trends and macroeconomic conditions, and suggests considering industry prospects and policy context. There is a material universe ambiguity: codes beginning with 60 generally identify Shanghai-listed shares, while the description labels the target market as Shenzhen main board. The example's code filter, trading calendar dates, and other implementation choices should therefore be checked against the intended universe and data definitions before use.

Key ideas

• The proposed screen combines 3% to 12% turnover with PE and PB valuation limits.
• It filters for share codes beginning with 60, while the text also calls the universe Shenzhen main board.
• The example includes a price ceiling of 12 that is not stated in the prose rule.
• No performance evidence is supplied for the screen.
• The article recommends considering market, industry, and policy context alongside valuation.

Tags

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