Chinese Stock Screen Using Turnover, Recent Limit-Ups, and Convertible Bonds

Summary

This proposed Chinese equity screen looks for turnover between 3% and 12%, at least one limit-up event in the preceding 25 days, and a nonempty name and code for an outstanding convertible bond. The accompanying rationale treats turnover as a measure of trading activity and a recent limit-up as a sign of market attention or buying pressure. It suggests that convertible-bond issuance may also relate to the stock’s characteristics. A formula reference and Python example illustrate translating the conditions into a screen, though the code adds its own filters and uses a turnover quantile.

The document provides no backtest, benchmark, or evidence that these conditions predict returns. It acknowledges liquidity and data availability concerns around convertible bonds, and notes that the bond-related filter could introduce misleading selections. It recommends combining the screen with market sentiment, technical indicators, valuation, operating conditions, and industry outlook, but does not define or test those additions.

Key ideas

• The screen selects stocks with turnover from 3% to 12%, a limit-up in the prior 25 days, and outstanding convertible-bond identifiers.
• Its rationale links moderate turnover and recent limit-up events to trading activity and market attention.
• The example implementation includes additional stock filters and approximates the turnover condition using a quantile.
• The document offers no performance test and flags convertible-bond liquidity, data availability, and filter quality as risks.

Tags

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