A-Share Screen Using Price Range, Convertible Bond Data, and the 10-Day Average

Summary

The document proposes an A-share stock screen combining daily price range, convertible-bond information, and the opening price relative to the 10-day moving average. Its stated conditions require a range above one percent, a nonempty convertible-bond name, and an opening price above the average but within five percent of it. The examples also show data retrieval and filtering steps, although the Python example adds market, industry, and listing filters that are not fully aligned with the written rule.

The post offers no backtest, return series, or comparison against a benchmark. It acknowledges that historical and technical conditions cannot ensure future price direction, and that some profitable companies may be excluded. It suggests adding fundamental measures and other technical signals, but does not test those refinements. The screen is a rule proposal rather than evidence of a profitable strategy.

Key ideas

• The proposed screen combines price range, convertible-bond data, and opening price relative to a 10-day moving average.
• The written rule places the opening price above the moving average and no more than five percent above it.
• The code example includes additional universe filters and does not consistently match the prose description.
• The document provides no backtest evidence and cautions that the rules cannot predict future performance.

Tags

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