Chinese Stock Screen Using Amplitude, Convertible Bonds, and Auction Turnover

Summary

This proposed Chinese equity screen combines a price movement threshold with the presence of an outstanding convertible bond name and positive prior-session auction turnover. The prose describes auction turnover above 0.26, while the formula expresses the price condition as an absolute close-to-previous-close move of at least 1% and uses a threshold above 0.26 for J2. The article interprets auction activity as a possible sign of market attention, and provides formula and Python examples. It reports no backtest or realized performance.

The write-up cautions that auction turnover may not represent the stock’s subsequent direction reliably, and that the screen may miss suitable stocks or select unsuitable ones. It suggests adding technical and fundamental measures, but does not define how to combine them or how positions would be entered, sized, or exited. The code example is therefore a screening illustration rather than a complete or validated trading system.

Key ideas

• The proposed screen combines a 1% price move condition, a nonempty convertible bond name, and auction turnover above 0.26.
• The formula checks an absolute close-to-previous-close change, while the prose describes amplitude.
• Auction turnover is presented as a measure of activity and market attention.
• The article warns that turnover may not predict subsequent price movement accurately.
• It suggests adding technical and fundamental filters, but does not specify a validated combined model.

Tags

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