A-Share Screen Using Daily Price Moves, Convertible Bonds, and Turnover

Summary

This proposed A-share screen combines a daily price-move condition, the presence of a nonempty name for an outstanding convertible bond, and turnover between 3% and 12%. The article presents the combination as a way to find stocks with movement and moderate trading activity, and includes example indicator logic and a Python sketch for applying the filters.

There is a mismatch in how the price condition is described: the prose calls it amplitude above 1, while the formula accepts a closing-price change of at least 1% in either direction. The examples do not establish that the screen identifies stable gains or offers a trading edge. The author says turnover and price movement can misrepresent a stock’s trend and suggests adding technical and fundamental filters and testing the rules. The implementation sketch is illustrative and leaves aspects of the screening process incomplete.

Key ideas

• The proposed screen requires a daily price move of at least 1% in either direction, a nonempty outstanding convertible-bond name, and turnover from 3% to 12%.
• The written description refers to amplitude, while the displayed condition uses the absolute change in closing price.
• The article provides indicator logic and an example Python outline but no performance evidence.
• The author warns that price movement and turnover alone may misclassify stocks.
• Adding technical and fundamental measures and testing the combined rules are suggested.

Tags

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