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

Summary

The post proposes screening A-share stocks for a daily price range above 1%, an outstanding convertible bond, and previous-day turnover above 8%. Its indicator example adds a market-capitalization threshold and excludes a code category, while the accompanying Python sample applies further filters involving exchange, listing status, region, industry, bond data, and intraday prices. The article frames the screen as combining trading activity and company characteristics, but supplies no backtest or portfolio results.

The stated criteria and examples do not fully agree: the prose describes a broad A-share rule, while the formula and Python implementation introduce extra conditions and appear to use different measures or timing for price movement and turnover. The post itself warns that high turnover does not predict future returns and that screening may omit some smaller or volatile companies. As presented, this is an illustrative filter requiring data, timing, and condition checks before it can be reproduced or evaluated.

Key ideas

• The stated screen uses a price-range condition, an outstanding convertible bond, and previous-day turnover above 8%.
• The indicator and Python examples add conditions beyond those in the prose description.
• The post supplies no backtest or performance evidence.
• High turnover alone does not indicate the direction of future returns.
• The differences between the stated rule and sample implementations require validation.

Tags

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