A-Share Screening for Volatility, Convertible Bonds, and Three Consecutive Limit-Ups

Summary

The document presents an A-share stock screen combining daily price amplitude above 1%, a nonempty name for an outstanding convertible bond, and a three-session limit-up condition on the previous day. It describes these filters as a way to find volatile, actively traded stocks and gives example implementations in a screening formula and Python, along with a suggestion to add valuation or earnings measures and assess broader market heat.

The article offers no backtest results or evidence that the screen is profitable. Its own caveats are that it does not assess company fundamentals and may select low-value stocks after a sharp run-up, exposing traders to chasing risk. The code examples also do not clearly establish that every line implements the stated conditions consistently, so the screen would need careful validation against the intended definitions and available data before use.

Key ideas

• The screen combines price amplitude, an outstanding convertible bond name, and a recent three-session limit-up condition.
• The article frames price amplitude as a volatility filter and consecutive limit-ups as a market-attention signal.
• It suggests adding valuation or earnings measures to include fundamental information.
• Recent limit-up stocks may carry momentum but also expose buyers to the risk of chasing an extended move.
• The document provides no performance testing to establish whether the selection logic has an edge.

Tags

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