Screening Chinese Equities for Seven-Day Declines and Convertible Bonds

Summary

This document presents a Chinese equity screen that combines a turnover band with seven consecutive declining sessions and a nonempty name for an outstanding convertible bond. It then proposes adding fundamental filters: market capitalization above the stated threshold, positive year-over-year changes in return on equity and net profit, each above the specified growth cutoff. The article provides corresponding formula and Python examples, though indicator names and units need adjustment for each data source.

The rationale is to identify shares that have recently weakened while retaining convertible-bond and growth characteristics. The author notes that the basic screen omits other technical and fundamental comparisons and may miss long-term value; broad market declines may also leave few candidates. Suggested improvements include adding indicators such as MACD and risk controls. No backtest, performance statistics, or evidence of predictive edge is supplied, and the sample logic should be validated against the intended data definitions before use.

Key ideas

• The initial screen selects stocks within a turnover range after seven consecutive down sessions.
• It also requires an outstanding convertible bond with a reported name.
• The proposed refined screen adds market-capitalization and year-over-year profitability filters.
• The article identifies limited factor coverage and market-regime sensitivity as weaknesses.
• The example formulas require adaptation to the chosen platform’s field names and units.

Tags

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