A Turnover, Order-Book, and Convertible-Bond Stock Screen

Summary

This stock-screening proposal combines a turnover range of 3% to 12%, greater displayed buy-one volume than sell-one volume, and a positive outstanding convertible-bond balance. Its rationale is that moderate trading activity may indicate liquidity, buy-side order-book imbalance may reflect demand, and outstanding convertible bonds may be associated with investor interest. The article also presents illustrative filters involving cash flow, leverage, assets, and profit, though these are not consistently integrated into its stated final screen.

The document warns that the approach relies on short-term sentiment and speculative demand, and that changes in convertible-bond data can produce misleading selections. It recommends adding technical and fundamental measures, including profitability and growth. No performance test or evidence of predictive power is reported, and the code examples contain apparent data-field inconsistencies, so the described logic should be treated as a screening concept rather than a validated strategy.

Key ideas

• The core screen selects stocks using turnover between 3% and 12%, buy-side order volume above sell-side volume, and outstanding convertible-bond balance.
• The article links turnover to trading activity and order-book imbalance to possible demand.
• It suggests adding financial and growth measures to address weaknesses in a sentiment-driven screen.
• The document provides no performance evidence, and its examples contain inconsistencies in how the filters are implemented.

Tags

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