Screening Chinese Stocks by Price Amplitude and Convertible Bond Links
Summary
This document describes a Chinese equity screen that selects stocks with daily price amplitude above one percent, excludes Beijing-listed shares, and requires a nonempty name for an outstanding convertible bond. It gives formula and Python examples, but the examples differ in details: the formula also applies a turnover-related condition, while the stated screen focuses on amplitude, location, and convertible-bond status.
The note recommends adding fundamental analysis, considering convertible-bond market volatility, and combining multiple indicators. It offers no backtest, performance data, or evidence that these criteria predict returns. The screen is therefore a rule specification rather than a validated strategy, and its broad suggestion to exclude Beijing shares does not establish why that market classification should improve results.
Key ideas
- The screen requires price amplitude above one percent and excludes Beijing-listed stocks.
- It also requires an outstanding convertible bond with a nonempty short name.
- The document proposes adding fundamental analysis and combining several indicators.
- No performance evidence is supplied, and the sample formulas may not match the stated rules exactly.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.