A-Share Screen for High Daily Range and Outstanding Convertible Bonds

Summary

This note describes an A-share filter combining a daily high-low range above 1%, a nonempty name for an outstanding convertible bond, and a year condition of 2021. It also presents indicator and Python examples intended to implement the screen. The stated rationale is to find volatile stocks with a convertible-bond link during a specified market period, but the explanation offers no backtest, performance evidence, or validation of that rationale.

The note flags that the screen may exclude promising firms and that focusing on one year overlooks broader market conditions. It suggests adding fundamental measures such as valuation and profit growth, technical indicators such as moving averages, and data from more years. The Python example adds extra filters, including listing-market and industry conditions, so it does not cleanly represent only the three stated criteria. The meaning of the bond-name condition and the exact timing of the range calculation also need clarification before use.

Key ideas

• The screen combines a daily high-low range threshold with an outstanding convertible-bond name condition and a 2021 date filter.
• The document gives no performance results or backtest evidence for the selection logic.
• It identifies the narrow time period and omitted company fundamentals as limitations.
• The Python example includes additional stock filters beyond the headline criteria.

Tags

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