Screening Shenzhen Main Board Stocks by Turnover, Flow, and Valuation

Summary

This stock-selection rule screens Shenzhen Main Board equities using turnover, trading-flow, and valuation filters. It selects stocks with turnover between 3% and 12%, an external-to-internal traded-volume ratio above 1.3, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The article provides both a query-style expression and a Python example to apply the conditions to the latest observations for each stock.

The article frames turnover and volume balance as liquidity and demand filters, while PE and PB ranges constrain valuation. It suggests adding measures of company potential, but does not define them. No backtest, selected-stock examples, or returns are reported. The author cautions that market conditions and policy changes can alter the screen’s effectiveness; the rules describe a selection method, not evidence of future performance. The query and Python examples also differ on whether the turnover limits are inclusive, which matters for stocks at the boundaries.

Key ideas

• The screen targets Shenzhen Main Board stocks with turnover between 3% and 12% and an external-to-internal volume ratio above 1.3.
• It applies PE and PB ranges of 0 to 29.01 and 0 to 3.11, respectively.
• The document provides query-style and Python examples based on the latest stock observations.
• It reports no backtest or return results and warns that market or policy changes may affect the screen.
• The two examples differ on whether turnover boundary values are included.

Tags

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