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

Summary

This document presents a Chinese equity screen for Shenzhen Main Board stocks, combining turnover from 3% to 12%, circulating market capitalization from 5 billion to 10 billion, price-to-earnings ratio from 0 to 29.01, and price-to-book ratio from 0 to 3.11. It frames the criteria as a blend of trading activity, company size, and valuation, and suggests tailoring valuation bands by industry while considering growth and profitability measures.

The article notes that its valuation cutoffs are subjective and that focusing on company and price metrics can miss broader industry trends. It supplies a formula sketch and a Python query, but the formula includes an undefined selected condition, and the Python example treats that condition as a string expression; neither establishes a complete, validated implementation. No backtest results or evidence of returns are included. The proposed screen should therefore be read as a starting filter, with data definitions, sector comparability, and the selection rule requiring further specification.

Key ideas

• The proposed universe is Shenzhen Main Board stocks with stated turnover, circulating market value, PE, and PB bounds.
• The article treats turnover and size as trading filters and PE and PB as valuation filters.
• It recommends adapting valuation ranges by industry and considering growth and profitability.
• The example implementation leaves a selected condition undefined, and the document reports no performance evidence.

Tags

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