Screening Chinese Stocks by Turnover, Trade Imbalance, and Convertible Bonds

Summary

This stock screen selects shares with turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a non-empty convertible-bond short name. The proposed interpretation is that turnover and the volume ratio reflect trading activity, while the bond condition identifies companies with outstanding convertible bonds. The article includes formula and Python examples to express the filters.

The document offers no backtest, return data, benchmark, or evidence that the combination predicts future performance. It flags that the screen may exclude otherwise attractive stocks and can be affected by market and bond-market changes. It suggests adding financial information and technical indicators for further screening. The examples also merit careful validation: the prose specifies inclusive turnover bounds, while its Python conditions use strict inequalities. Overall, this is a concise rule-based equity selection recipe whose rationale and limitations are described, but whose effectiveness is not demonstrated.

Key ideas

• The screen requires turnover from 3% through 12% and an outside-to-inside volume ratio above 1.3.
• It also requires the stock to have a non-empty convertible-bond short name.
• The article interprets the volume and turnover filters as indicators of trading activity.
• It warns that the filters may omit other candidates and can be affected by market changes.
• The examples should be checked for consistency because the stated turnover bounds differ from the Python conditions.

Tags

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