Chinese Stock Screening by Price Range, Large-Order Activity, and Convertible Bonds

Summary

This proposed Chinese A-share screen combines daily price amplitude above a threshold, a large-order net-volume ranking, and a nonempty name for an outstanding convertible bond. The document interprets amplitude as a volatility measure, order flow as a sign of trading activity, and convertible-bond availability as a possible source of price support or pressure. It provides a screening formula and Python example, though the example uses turnover and an amount threshold as practical proxies for the stated ranking condition.

The author cautions that the rules focus on short-term market data and do not assess long-term company fundamentals. The screen also excludes shares without the specified convertible-bond field and may be affected by interactions between bond and stock markets. No backtest or performance evidence is presented. The suggested next steps are to incorporate additional indicators and bond information, assess fundamentals, and test the rules for feasibility and stability.

Key ideas

• The screen combines price amplitude, large-order activity, and convertible-bond information.
• The stated rationale treats volatility and order flow as indicators of activity or potential upside.
• The Python example uses turnover and trading amount alongside convertible-bond data.
• The proposal lacks backtest results and does not evaluate long-term fundamentals.
• The document recommends broader analysis and testing before relying on the screen.

Tags

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