Screening Chinese Convertible Bond Issuers by Reversal and Turnover

Summary

The article describes a Chinese stock screen combining a turnover rate between 3% and 12%, a reversal-style price pattern, and a nonempty name for an outstanding convertible bond. Its formula further limits candidates to listed Shenzhen stocks and defines the reversal condition using intraday highs and lows relative to the previous close. The stated motivation is to find stocks with momentum that also have an associated convertible bond.

The article cautions that the screen omits company fundamentals and convertible-bond market conditions, including the relationship between bond and share prices and time to maturity. It suggests adding financial measures and bond-specific variables. A sample Python workflow joins daily price, turnover, and bond data, but the code’s reversal calculation is not clearly connected to a final threshold, and it filters on bond name rather than demonstrating whether the bond remains outstanding. No backtest or trading results are provided, so the criteria remain an unvalidated screen.

Key ideas

• The selection combines a bounded turnover range, a reversal-style price condition, and an associated convertible bond.
• The formula also restricts the universe to listed Shenzhen stocks.
• The article recommends incorporating company fundamentals and convertible-bond pricing and maturity information.
• The sample workflow does not clearly apply a reversal threshold or verify that the bond is outstanding.
• No evidence of strategy performance is reported.

Tags

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