A-Share Screen for Volatility, Convertible Bonds, and Recent Limit-Ups
Summary
This document proposes screening Chinese A-shares using three conditions: a trading range above a stated threshold, a nonempty convertible-bond name, and a limit-up event within the prior 25 days. It presents the idea as a combination of volatility, convertible-bond availability, and recent price strength. Formula and Python examples illustrate how to retrieve stock, bond, and daily-price data and apply filters, though their implementations do not consistently match the stated screen.
The article warns that relying on recent performance may expose the strategy to reversals and that its fundamental coverage is weak. It suggests adding measures such as valuation or earnings growth and combining them with trend indicators. No backtest, portfolio rules, transaction-cost analysis, or return evidence is provided, so the screen should be treated as an illustrative selection rule rather than a validated strategy. The data filters and limit-up calculation also require careful review before use.
Key ideas
- The proposed screen combines a minimum intraday range, convertible-bond information, and a recent limit-up event.
- The examples show how market data can be filtered programmatically, but the code and stated selection conditions are not fully consistent.
- Recent strength and high volatility may select stocks vulnerable to a subsequent pullback.
- The article recommends supplementing the screen with fundamental and technical measures.
- No performance testing or trading-cost evidence is supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.