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Screening Convertible-Bond Issuers with RSI and Order-Book Volume

Article SuperMind
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Summary

This document outlines a stock screen using RSI below 65, bid-side displayed volume greater than ask-side volume, and a nonempty name for an outstanding convertible bond. It interprets the RSI threshold as a way to avoid an overbought reading, the volume comparison as a positive market sentiment signal, and the bond condition as a way to identify stocks linked to convertible debt. The article recommends adding fundamental, financial, industry, market, and risk checks.

It includes example formula and Python references, but presents no backtest or return evidence. The stated rationale that these filters reduce risk is not substantiated, and the screen omits company fundamentals unless separately added. Its examples also differ in details, including an extra market-cap filter in the Python reference, so the exact selection criteria are not fully consistent.

Key ideas

  • The proposed screen requires RSI below 65 and bid-side volume above ask-side volume.
  • It also selects issuers with a named outstanding convertible bond.
  • The article advises combining the signals with company, financial, industry, and risk analysis.
  • No performance evidence is provided, and the example implementations differ in some criteria.

Tags

China marketsEquitiesOptionsTechnical indicatorsMarket microstructure

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