Selecting Stocks with High Amplitude, Convertible Bonds, and Afternoon Inflows

Summary

This note presents a Chinese stock-selection screen using price amplitude, the presence of an outstanding convertible bond name, and positive afternoon large-order net inflow. Its rationale treats amplitude as a measure of price movement, bond issuance as a sign of company strength, and large-order inflow as evidence of buying pressure. The example formula adds turnover, intraday fund-flow, and daily return bounds; the Python example describes additional exclusions and flow-rate thresholds.

The author warns that the screen omits longer-term trend, detailed market conditions, and fundamental measures, while high-amplitude stocks may be especially volatile. Large-order flow data can be uncertain or distorted by market structure, potentially producing false signals. Suggested improvements include incorporating valuation, growth, profitability, and broader market trends. No backtest, return series, or evidence that the screen outperforms is supplied, so it should be read as a proposed filter rather than a validated strategy.

Key ideas

• The proposed screen combines price amplitude, outstanding convertible bond status, and afternoon large-order inflows.
• The example rules also use turnover and place bounds on daily returns and flow measures.
• Large-order flow may be unreliable, and volatile stocks can carry elevated risk.
• The note recommends adding fundamental and market-trend factors but provides no performance tests.

Tags

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