Shenzhen Stock Screening by Turnover, Momentum, and Valuation

Summary

The document describes a China A-share screening rule for Shenzhen main-board stocks. It selects shares with turnover between 3% and 12%, a positive 10-day gain below 35%, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The accompanying Python example sketches a stock-universe filter and checks valuation and daily market data, though its dates and implementation do not fully match the stated 10-day rule.

The author argues that valuation filters can help identify reasonably priced firms, but warns that sector and market cycles affect these ratios. They may exclude sound companies or misrepresent value when used alone. The article recommends combining valuation with industry context, financial condition, asset quality, and operating performance. It provides no backtest, performance results, or evidence that the thresholds predict returns, so the screen should be treated as a candidate-selection heuristic rather than a validated strategy.

Key ideas

• The screen targets Shenzhen main-board stocks with turnover from 3% to 12% and positive but sub-35% 10-day gains.
• It limits price-to-earnings ratios to 0–29.01 and price-to-book ratios to 0–3.11.
• Valuation ratios can vary with industry and market cycles and should not be used in isolation.
• The document recommends checking financial condition, asset quality, and operating performance alongside valuation.
• No performance test is supplied, and the sample code does not clearly implement the stated 10-day return condition.

Tags

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