Chinese Stock Screening with Volatility, Institutional Flow, and Convertible Bonds
Summary
The document describes a daily stock screen intended to run after the market opens. It combines three conditions: an amplitude measure above a threshold, a change in reported institutional participation greater than a threshold, and a nonempty short name for an outstanding convertible bond. The stated rationale is to find volatile stocks with a notable shift in institutional activity while filtering for companies associated with convertible bonds. It also gives example expressions and a Python sketch for applying the conditions.
No performance results or backtest evidence are provided. The article itself cautions that the screen uses a narrow set of inputs, omits broader market and sector context, and cannot remove all risk. The sample code is illustrative and relies on data fields and functions whose calculation and compatibility are not explained; in particular, the article does not establish that the bond-name condition is a reliable risk filter. The proposed use is short-term investing, but no holding period, exit rules, transaction costs, or risk controls are specified.
Key ideas
- The screen combines an amplitude threshold, a change in institutional participation, and convertible-bond information.
- It is intended to select stocks after the daily market open.
- The document provides platform expressions and a Python sketch, but does not validate their implementation.
- The article warns that the limited factors do not account for broader market or sector influences.
- A nonempty convertible-bond name should not be treated as eliminating investment risk.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.