I just tested a shen build and it turned out pretty good!
I always felt like doing too low damage with shen, since your main damage comes in the first hit after Vorpal blade, with ki strike aktive on you.
Maybe you know this build allrdy but I found that it deals pretty decent dmg while being tanky enough to tank in a fight.
Core:
1x Ninja Tabi/Mercury's Treats.
1x Sunfire Cape.
1x Wit's end.
(This core gives you imo enough mr and armor and nice amount of dmg, even though SC is pretty much the core item in every shen build.)
More mr+armor+dmg
1x Atma's Impaler
1x Force of Nature/Abyssal Scepter
try it out and you'll see that shen can be a good tanky dps.