Screening Shanghai-Listed A-Shares by Turnover and Positive P/E

Summary

This note describes a stock screen for A-shares whose codes begin with 60, whose turnover is between 3% and 12%, and whose price-to-earnings ratio is positive. The code example obtains a current trading date and filters listed stocks using those criteria. The accompanying explanation presents turnover and listing-code prefix as liquidity and market-selection filters, while positive P/E excludes companies with negative earnings under the measure used.

The document provides screening logic but no portfolio construction, trade timing, backtest, or performance evidence. It acknowledges that relying on positive P/E alone omits other financial measures, such as book value and return on equity, and suggests considering broader fundamentals and market conditions. The criteria therefore define a basic candidate universe rather than establishing that the selected stocks are undervalued or likely to outperform.

Key ideas

• The screen selects stocks with codes beginning with 60 and turnover between 3% and 12%.
• It requires a positive price-to-earnings ratio.
• The code example applies these filters using listed-stock and daily data.
• Positive P/E alone does not provide a broad assessment of financial quality or valuation.
• The document supplies no evidence of returns or risk-adjusted performance.

Tags

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