Coming back to HK after a visit in Shenzhen as a tourist

Hello,
I am planning on visiting Shenzhen later this month and I am very excited. My plan is to enter China from Hong Kong through Luohu (Lo Wu) and take advantage of the 5-Day Visa on Arrival scheme.
Is it possible to go back to Hong Kong on a ferry from Shekou Port or the High Speed train from Shenzhen North Railway Station / Shenzhen Futian Railway Station on the special tourist visa? Or do I have to come back through Luohu (Lo Wu)?