Shenzhen Stock Screen Using Turnover, Valuation, and ROE

Summary

This Chinese equity screen combines market, trading, and accounting filters. It focuses on Shenzhen main-board stocks with amplitude above 1, previous-day actual turnover between 3% and 28%, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The proposed refined screen also requires return on equity of at least 10%. Example snippets illustrate how the filters might be combined using market and financial data.

The article frames valuation multiples and ROE as ways to narrow a broad stock universe, while acknowledging that historical financial ratios do not capture future prospects, management quality, or industry trends. It suggests considering additional measures such as dividends and leverage, with criteria tailored by industry. No backtest or evidence of investment performance is provided. The sample code and descriptions contain potentially inconsistent definitions or units for amplitude and turnover, so data fields and thresholds require verification before the screen can be reproduced reliably.

Key ideas

• The proposed universe is Shenzhen main-board equities filtered by amplitude and prior-day turnover.
• Valuation filters use price-to-earnings and price-to-book ranges, with a refined version adding an ROE threshold.
• The article notes that accounting ratios alone may miss industry and company-specific risks.
• No performance results are presented, and the example field definitions need verification.

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