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

Summary

This stock screen narrows the universe to Shenzhen Main Board listings and combines liquidity, size, and valuation constraints. It specifies turnover between 3% and 12%, a circulating share count no greater than 5.5 billion shares, price-to-earnings between zero and 29.01, and price-to-book between zero and 3.11. The example code also proposes an optional second-stage filter requiring return on equity above 10%.

The article presents the criteria as a way to consider liquidity and company valuation together, but provides no backtest, selection examples, or evidence that these thresholds improve returns. It notes that fixed valuation bands may misrepresent firms with unusual business conditions or growth prospects, potentially excluding attractive companies or admitting risky ones. It suggests adjusting the ranges and adding company and industry analysis. The stated thresholds are a screening recipe, not a complete portfolio or trading method; there are no rules for rebalancing, position sizing, or execution.

Key ideas

• The screen focuses on Shenzhen Main Board stocks with turnover between 3% and 12%.
• It limits circulating shares to 5.5 billion and applies positive price-to-earnings and price-to-book ranges.
• An optional refinement in the example uses return on equity above 10%.
• The article warns that fixed valuation bands may fail to reflect business conditions or future prospects.
• It supplies no performance evidence or rules for portfolio construction and trading.

Tags

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