Shenzhen Main Board Stock Screen Using Turnover, DEA, PE, and PB

Summary

This stock-selection recipe filters Shenzhen Main Board shares using a turnover range of 3% to 12%, an upward-moving DEA condition, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. It presents the criteria in prose and gives reference implementations in a Chinese indicator formula and Python, including a board-code prefix filter.

The post argues that valuation filters make the screen more selective, but it provides no backtest, selected-stock examples, or performance evidence. Its warning is that valuation levels alone may overlook other drivers of stock performance; it suggests adding fundamental or industry factors and validating the resulting screen. The two code examples do not express the DEA condition identically: one defines it with moving-average relationships, while the Python example checks whether the computed DEA value has increased. Users would need to resolve that difference and verify data definitions, timing, and trading assumptions before relying on the screen.

Key ideas

• The screen combines turnover, a rising DEA condition, PE and PB bounds, and Shenzhen Main Board membership.
• The specified turnover interval is 3% to 12%.
• The valuation bounds are PE from 0 to 29.01 and PB from 0 to 3.11.
• The post provides no historical performance results and recommends further validation.
• The indicator formula and Python example encode the DEA condition differently.

Tags

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