A-Share Screening by Amplitude, Convertible Bond Listing, and Region

Summary

This note presents an A-share screen based on price amplitude above one percent, a nonempty name for an outstanding convertible bond, and exclusion of Beijing-listed stocks. It describes volatility as the main selection feature and treats the regional exclusion as a way to narrow the universe. Example formulas and Python code are included, although the implementation mixes data fields and eligibility checks that may not faithfully represent the stated screen.

The author identifies the absence of company scale and profitability measures as a limitation and proposes adding valuation or other fundamental indicators. No backtest, return data, or evidence of predictive value is supplied. The screen is therefore best understood as a simple filter specification; its bond condition, amplitude definition, and exchange or regional rules need validation against the intended market data before practical use.

Key ideas

• The screen combines amplitude above one percent, an outstanding convertible bond name, and exclusion of Beijing stocks.
• Volatility is the central selection feature in the stated rationale.
• The note acknowledges that the screen omits company size, earnings, and other fundamentals.
• It proposes adding fundamental measures but provides no performance evaluation.

Tags

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