A-Share Screen for Volatility, Convertible Bonds, and Trading Value

Summary

The document proposes screening Chinese listed stocks for daily price amplitude of at least 1%, a nonempty outstanding convertible-bond name, and prior-day trading value above 60 million. It argues that amplitude captures price movement, convertible-bond issuance may indicate company strength, and high trading value may reflect market activity. An accompanying indicator formula uses a turnover threshold and a price-range calculation as proxies for parts of the stated screen, while the Python example checks prior-day trading value and filters some stock categories.

The screen is a set of selection conditions, not a tested trading strategy: the document gives no performance results, portfolio rules, or evidence that the convertible-bond condition predicts quality. It also acknowledges that amplitude may not fully represent volatility and that high turnover does not imply future gains. The formula and Python description do not clearly implement all three stated conditions in the same way, so the screen would need careful validation and consistent definitions before use. The author suggests adding valuation, industry, and market-flow measures, but does not specify how to combine them.

Key ideas

• The proposed screen combines price amplitude, outstanding convertible-bond information, and prior-day trading value.
• The stated thresholds are an amplitude of at least 1% and trading value above 60 million.
• The document presents a turnover-based indicator formula and a Python example, but their conditions do not clearly match in full.
• No backtest or evidence of predictive performance is provided.
• The author recommends considering valuation, industry, and market-activity measures as additional context.

Tags

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