A-Share Screen Using Turnover, Bond Names, and Price Range

Summary

The document describes an A-share stock screen combining daily price amplitude, turnover, and a convertible-bond name field. Its stated conditions require amplitude above 1%, a nonempty bond name, and turnover between 2% and 9%. It also gives indicator-formula and Python examples, though the Python version adds universe filters and other conditions that are not all part of the stated core rule.

The article argues that a bounded turnover range may avoid stocks with unusually low or high trading activity, while noting that it can exclude otherwise valuable stocks and produce a narrow list. It suggests widening the turnover range or adding fundamental and sentiment measures. No performance test or supporting results are reported, and the inconsistency between the headline logic and implementation details means the examples should be checked before use.

Key ideas

• The core screen combines amplitude above 1%, a nonempty convertible-bond name, and turnover from 2% to 9%.
• The article frames turnover bounds as a way to avoid very low or high trading activity.
• The screen may miss stocks outside its turnover range and may return a limited universe.
• The provided implementation examples add filters beyond the stated core conditions.
• The document reports no backtest or measured performance.

Tags

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