A-Share Screen Using Price Range, Convertible Bonds, and Limit-Up History

Summary

This note presents a Chinese stock screen combining a daily price range above 1%, a nonempty outstanding convertible-bond name, and at least two limit-up events over a 500-day window. The author frames the filters as measures of price volatility, company strength, and market attention, and includes example indicator and Python implementations. The formula also applies a listing-age condition, while the Python example uses recent daily data and checks other conditions, so the implementations do not align cleanly with the stated rule.

No backtest or performance evidence is reported. The note cautions that the screen omits market details and fundamentals, and that counting limit-ups may be a delayed or imprecise measure of investor interest. It suggests adding valuation, growth, profitability, broader market trends, news sentiment, or institutional attention. The examples contain apparent inconsistencies in data fields and limit-up logic, so the described rules would need careful validation before use.

Key ideas

• The stated screen combines a price range above 1%, an outstanding convertible-bond name, and at least two limit-up events within 500 days.
• The author interprets range as volatility and limit-up frequency as a proxy for market attention.
• The note supplies example formulas and Python logic but presents no backtest or performance results.
• Limit-up counts may lag current interest, and the filters omit fundamentals and market context.
• The formula and Python example appear to implement different conditions and require validation.

Tags

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