A-Share Screening by Ten-Day Return, Trading Range, and Convertible Bond Data

Summary

This post outlines an A-share stock screen using three conditions: a daily high-low range above a threshold, a nonempty convertible-bond name field, and a positive but capped return over ten days. It presents both an indicator-formula example and a Python sketch that attempts to gather company, bond, and daily price data before applying filters. The intended idea is to combine recent movement with a bond-related data condition, but the post supplies no backtest, selected-stock examples, or evidence of predictive performance.

The author cautions that short-term price movement can be a weak basis for selection and that the rules may exclude promising companies. Suggested refinements include adding valuation, earnings-growth, or moving-average measures. The code’s data fields and calculations are not clearly consistent with the written description, so the implementation should be checked carefully before use. The document does not assess transaction costs, liquidity, portfolio construction, or out-of-sample behavior.

Key ideas

• The screen requires a daily high-low range above a stated threshold.
• It also requires a nonempty convertible-bond name field and a bounded positive ten-day return.
• The post offers formula and Python examples but gives no performance evidence.
• The author suggests adding fundamental and technical measures to address the screen’s limitations.
• The sample implementation should be validated against the written rules and data definitions.

Tags

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