A-Share Screen Using Intraday Range, Convertible Bonds, and 10-Day Returns

Summary

This post describes a Chinese A-share screening rule combining a daily high-low range above 1%, an available convertible-bond name, and a positive return over ten days that remains below 35%. It offers an indicator-formula example and a Python example intended to implement the screen, along with a suggestion to add valuation, earnings-growth, or moving-average filters.

The stated rationale is to find shares with recent movement and some upward momentum while requiring a convertible-bond link. The post warns that a short lookback can overemphasize recent price action and exclude otherwise promising companies. It supplies no backtest, benchmark, transaction-cost analysis, or evidence that these conditions predict future returns. The examples also differ in their data fields and calculation details, so implementation should be checked before use.

Key ideas

• The screen combines a daily range threshold, a convertible-bond condition, and a capped positive ten-day return.
• The post provides both an indicator formula and a Python implementation example.
• It suggests adding company fundamentals or technical filters to broaden the selection criteria.
• The author notes that short-term price filters can be misleading and may omit quality companies.
• No performance test or transaction-cost analysis is provided.

Tags

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