Screening Chinese Stocks by Volatility, Convertible Debt, and Daily Return

Summary

This document describes a Chinese stock screen using daily price movement and convertible bond information. It selects stocks with an amplitude above 1, a nonempty name for outstanding convertible debt, and a daily return between negative 5% and positive 2.6%. It explains amplitude as a rough gauge of price fluctuation and treats the bond-name condition as a way to identify firms with outstanding convertible financing.

The post gives a technical indicator expression and a Python example intended to implement the screen, then suggests adding fundamental measures such as earnings or returns on equity and technical indicators such as MACD or RSI. It offers no backtest, performance figures, or evidence that the criteria predict returns. The accompanying Python example also does not visibly apply the outstanding-convertible-debt condition and appears to use return bounds that differ from the stated screen, so its implementation should be checked before use. The strategy is presented as a shortlisting rule, not a validated investment approach.

Key ideas

• The screen combines price amplitude, outstanding convertible debt, and a bounded daily return.
• The stated return range is greater than negative 5% and less than positive 2.6%.
• The document proposes adding fundamental and technical measures to broaden the screen.
• No performance test is provided, and the Python example does not clearly match every stated condition.

Tags

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