A-Share Screening with Trading Range, Convertible Bonds, and Capital Flows

Summary

This document describes a Chinese equity screening rule that combines a price-movement threshold, an outstanding convertible-bond name field, and an indicator of recent large-investor activity. It initially presents yesterday’s control by major funds as a sign of market interest, then identifies limitations: the flow measure may lag or be inaccurate, and the screen leaves out broader market details and company fundamentals.

The proposed refinement replaces the control indicator with positive net inflow from major funds on the previous day, alongside the range and convertible-bond conditions. The article provides example formulas and a Python implementation using market and money-flow data. It does not report a backtest or performance evidence, and the supplied examples do not establish that the chosen conditions predict returns. The screen is best understood as a simple candidate-selection rule whose data definitions and thresholds would need validation.

Key ideas

• The screen combines a price-range condition with a convertible-bond field and a recent major-fund flow measure.
• The proposed final rule requires positive previous-day net inflow from major funds.
• The article cautions that the original fund-control indicator may be delayed or inaccurate.
• No backtest results are provided to demonstrate that the screen predicts returns.

Tags

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