A-Share Screen for Volatility, Convertible Bonds, and Price

Summary

The post describes a simple Chinese A-share stock screen requiring daily high-low movement above 1%, a nonempty outstanding-convertible-bond name, and a share price around 18.5 yuan. Its final restatement widens the price condition to 18–19 yuan, while the sample formula and code use an exact 18.5 price condition. The code examples also add exchange, listing, industry, and other filters, so they do not implement one fully consistent specification.

The author presents the screen as a narrow combination of price movement, convertible-bond status, and price level, and suggests adding financial, industry, volatility, and valuation information. The post acknowledges that a few isolated conditions may miss undervalued stocks and produce an imprecise, overly narrow selection. It supplies no backtest, portfolio results, or evidence that the criteria predict returns; the price and bond-name filters should therefore be treated as screening choices rather than demonstrated investment signals.

Key ideas

• The proposed screen combines a high-low movement threshold, convertible-bond status, and a share-price condition.
• The written specification varies between an exact price and a price range.
• The examples add extra filters that are not all part of the stated core rule.
• The post recommends broadening the screen with company, industry, and valuation information.
• No performance evidence is supplied to establish that the screen predicts returns.

Tags

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