Chinese Stock Screen Using Range, Convertible Bond Links, and Order Flow

Summary

This document describes a Chinese equity screen combining daily price movement with convertible bond and large order flow information. It seeks stocks with an amplitude above the stated threshold, a nonempty name for an outstanding convertible bond, and a positive product of price change and very large order net volume. The rationale is that the price and order flow conditions may identify stocks rising alongside substantial buyer activity, while the bond field serves as a financing or credit-related filter.

The post offers indicator and Python examples, but their conditions do not consistently match the prose description: for instance, the formula includes both positive and negative return checks, while the Python example uses close-to-open change and volume instead of the specified order flow. No performance evidence or backtest results are provided. The author notes that the screen omits other company and market factors and that the selected data can be volatile; further fundamental and market filters are suggested.

Key ideas

• The screen combines price amplitude, an outstanding convertible bond name, and a price-change/order-flow condition.
• Its proposed rationale is that aligned positive returns and large-order buying may reflect inflows and liquidity.
• The formula and Python example differ from the prose conditions, so the implementation requires careful review.
• No empirical performance evidence is presented, and the screen may select volatile stocks while overlooking company fundamentals.

Tags

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