Stock Screening by Turnover, Float Market Value, and Convertible Bonds

Summary

This stock screening note selects shares with turnover rates from 3% to 12%, circulating market value from 5 billion to 10 billion yuan, and a nonempty indication related to outstanding convertible bonds. It frames turnover as a measure of market activity and the market value band as a liquidity or size filter. The convertible bond condition is intended to account for possible share price pressure associated with such bonds. The document includes formula and Python examples, with the Python version using average turnover and circulating value across available observations.

The note cautions that these filters do not evaluate company fundamentals and may overemphasize activity and liquidity. It suggests supplementing them with fundamental and technical measures and revisiting parameter choices. There is no reported backtest, portfolio construction method, or performance evidence. The formula’s convertible bond terminology and the code’s flag-based implementation are not fully reconciled in the explanation, so the exact data definition should be checked before applying the screen.

Key ideas

• The screen combines turnover between 3% and 12% with circulating market value between 5 billion and 10 billion yuan.
• It adds a condition related to outstanding convertible bonds.
• The example implementation applies average turnover and market value measures across observations.
• The note warns that the filters omit company fundamentals and may prioritize liquidity excessively.
• No performance results are supplied, and the convertible bond condition needs careful data definition.

Tags

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