Screening Chinese Stocks by Range, Convertible Bonds, and Large-Order Flow

Summary

This note describes a Chinese equity screen combining a daily price-range threshold, an indicator that a company has an outstanding convertible bond, and positive large-order net volume over three consecutive days. The accompanying formula expresses the range as the high-low difference divided by the low, with a 1% threshold, and checks whether the three-day net-volume sum exceeds 0.05. The text interprets these conditions as a way to find volatile stocks that have financing ties to convertible bonds and recent buying interest from large orders.

The article warns that price range alone does not identify a sound opportunity, and that large-order flow reflects attention rather than a reliable prediction of price gains. It suggests adding fundamental measures, such as valuation ratios, and further capital-flow or institutional activity analysis. It offers a Python example that also filters financial and institutional data, but gives no backtest, performance evidence, or precise validation of how that code matches the stated screen; the criteria therefore remain an untested selection idea.

Key ideas

• The screen requires a daily high-low range of at least 1% relative to the low.
• It also requires an outstanding convertible bond name and positive large-order net volume across three days.
• Large-order activity may indicate market attention, but does not establish why a stock will rise.
• The note recommends combining the screen with fundamental and other flow measures.
• No empirical performance or backtest is reported.

Tags

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