Chinese Stock Screening by Amplitude, Float Value, and Convertible Bonds

Summary

This note proposes screening Chinese stocks for daily amplitude above 1%, circulating market value above 10 billion yuan, and a nonempty name for an outstanding convertible bond. It describes the combination as a way to consider price movement, company scale, and convertible-bond status together. The document includes a formula reference and a Python example, and suggests expanding the screen with financial and operating measures such as return on equity, debt, and revenue, then evaluating it with historical simulation.

The stated rationale is that amplitude captures price movement, market value sets a size threshold, and the bond-name field provides information about convertible debt. The article provides no backtest, outcome data, or evidence that these conditions identify lower-risk or higher-growth stocks. It acknowledges that the bond field may be an imperfect proxy and that the filters leave out important business and market factors. The sample code and described conditions are not fully aligned, so implementation details and data definitions require independent checking before use.

Key ideas

• The proposed screen combines amplitude above 1%, circulating value above 10 billion yuan, and a nonempty outstanding convertible-bond name.
• The article treats these filters as proxies for volatility, scale, and convertible-bond status.
• It suggests adding financial and operating measures and evaluating the screen with historical simulation.
• The note provides no performance evidence for the selection rules.
• The data-field proxy and sample implementation have limitations that require validation.

Tags

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