Chinese Stock Screening with Volatility, Convertible Bonds, and Order Flow

Summary

This Chinese stock screen combines daily price movement, convertible bond information, and trading activity. It selects shares with amplitude above 1, a nonempty outstanding convertible bond name, and an outside-to-inside trading volume ratio above 1.3. The article interprets amplitude as a measure of volatility, the bond field as a clue about financing and credit, and the volume ratio as a sign of buying or selling pressure. It also gives formula and Python examples, though the examples do not consistently implement the stated screen.

The author cautions that order-flow ratios can fluctuate and that relying on these filters omits factors such as company size and financial condition. The suggested improvement is to add fundamental and valuation filters and consider a longer holding period. No performance results or backtest evidence are provided, and the example code contains apparent mismatches between the described conditions and its calculations. The screen is therefore best read as a rough selection idea rather than a validated strategy.

Key ideas

• The screen combines amplitude above 1, an outstanding convertible bond name, and an outside-to-inside volume ratio above 1.3.
• The article associates amplitude with volatility and the volume ratio with buying or selling pressure.
• The author suggests adding company size, valuation, and financial condition filters.
• The examples do not fully match the stated criteria, and the document reports no performance evidence.

Tags

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