Screening Chinese Stocks by Daily Drawdown, Amplitude, and Convertible Bonds

Summary

This A-share screening idea combines three filters: daily amplitude above 1, a daily maximum decline between 4% and 5%, and a nonempty name for an outstanding convertible bond. The explanation frames amplitude as a volatility measure, the decline as a possible reversal signal, and the bond condition as a way to account for links between convertible bonds and their underlying shares. It also includes a sample implementation outline and a platform-specific screening expression.

The document offers no backtest, trading rules, or evidence that the combination predicts returns. It acknowledges that the bond-market relationship can vary and that having an outstanding convertible bond does not establish a company's quality. The proposed improvements are to monitor changes in the relationship and consider additional, sector-specific selection criteria. The filters are therefore a screening hypothesis, not a validated reversal strategy.

Key ideas

• The screen requires amplitude above 1 and a daily maximum decline between 4% and 5%.
• It also requires a nonempty name for an outstanding convertible bond.
• The rationale treats the decline as a potential reversal cue and the bond condition as contextual information.
• The document warns that the bond relationship may vary and does not demonstrate that the screen produces returns.

Tags

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