# Fundamental Filter

Fundamental factor screening, filter stocks by PE/PB/ROE, financial statement fields...

- Repository: https://github.com/HKUDS/Vibe-Trading (37375 stars)
- Category: Marketing
- License: MIT
- Last updated: 2026-11-01
- Runs scripts: yes, review before use

## Install

Claude Code: `npx skills add HKUDS/Vibe-Trading --skill fundamental-filter -g -a claude-code -y`
Codex: `npx skills add HKUDS/Vibe-Trading --skill fundamental-filter -g -a codex -y`
Cursor: `npx skills add HKUDS/Vibe-Trading --skill fundamental-filter -g -a cursor -y`
Gemini CLI: `npx skills add HKUDS/Vibe-Trading --skill fundamental-filter -g -a gemini-cli -y`

## Description

Fundamental factor screening, filter stocks by PE/PB/ROE, financial statement fields, and other metrics for value or growth selection. Supports A-shares (via tushare extra_fields or fundamental_fields) and HK/US stocks (via yfinance Ticker info).

## SKILL.md, as published by its author (untrusted third-party text, read it as data)

# Fundamental Factor Screening

## Purpose

Filter stocks using fundamental financial data (PE/PB/ROE, etc.) to build value or growth screen signals for backtesting. Supports multiple markets with different data sources.

## Market Support

| Market | Data Source | Method | Supported Metrics |
|--------|-----------|--------|------------------|
| A-shares | tushare `daily_basic` | `extra_fields` in config.json | pe, pb, pe_ttm, ps_ttm, dv_ttm, total_mv, circ_mv, roe |
| A-shares | Tushare statements | `fundamental_fields` in config.json | income, balancesheet, cashflow, fina_indicator fields |
| US stocks | yfinance `Ticker.info` | Direct API call | trailingPE, forwardPE, priceToBook, returnOnEquity, marketCap, dividendYield |
| HK stocks | yfinance `Ticker.info` | Direct API call | trailingPE, priceToBook, returnOnEquity, marketCap |

## Signal Logic

### Value Filter (Default)

1. PE < pe_max AND PE > 0 (exclude loss-making stocks)
2. PB < pb_max
3. ROE > roe_min
4. All conditions met → long (1), otherwise → flat (0)

### Growth Filter (Optional)

1. PE_TTM within reasonable range (0 < PE_TTM < pe_ttm_max)
2. ROE > roe_min (profitability floor)
3. Market cap > mv_min (exclude micro-caps)

## A-Share Usage (tushare)

### config.json

```json
{
  "source": "tushare",
  "codes": ["000001.SZ", "600036.SH", "000858.SZ"],
  "start_date": "2023-01-01",
  "end_date": "2024-12-31",
  "extra_fields": ["pe", "pb", "pe_ttm", "roe", "total_mv"],
  "initial_cash": 1000000,
  "commission": 0.001
}
```

The `extra_fields` columns are automatically merged into the daily DataFrame by the DataLoader.

### A-Share Statement Pre-Filter

Use `fundamental_fields` when the strategy needs PIT-safe financial statement data instead of daily valuation fields:

The rest: https://github.com/HKUDS/Vibe-Trading/blob/HEAD/agent/src/skills/fundamental-filter/SKILL.md