A Chinese Stock Screen Using Turnover, Convertible Bonds, and Price Limits

Summary

The post describes a China-focused stock selection screen combining share activity, convertible-bond information, and a prior-day price-move filter. Its written rules call for amplitude above a threshold, a nonempty convertible-bond short name, and a prior session that was not limit-up. It also supplies example indicator and Python implementations that add a turnover condition and exclude stocks near daily price-limit moves, with code-level details that do not perfectly match the prose description.

The author explains amplitude as a measure of price fluctuation and presents convertible-bond information and price-limit status as additional selection criteria. The post cautions that the screen omits long-term trend, market details, and broader fundamentals, and that high-amplitude shares carry elevated risk. It suggests adding valuation, growth, profitability, and market-trend measures. No backtest results or performance evidence are given, and the stated rationale should not be read as proof that the filters predict returns.

Key ideas

• The proposed screen combines price amplitude, convertible-bond name availability, and a prior-day price-limit condition.
• The example implementations include a turnover filter and stock exclusions that are not fully aligned with the prose rules.
• The author identifies volatility and omissions in trend, market context, and fundamentals as limitations.
• No performance evidence is supplied, and further fundamental and market filters are suggested.

Tags

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