A-Share Screening with Price Range, Ten-Day Average, and Convertible Bonds

Summary

This document describes a daily stock screen combining three conditions: the prior trading range must exceed a stated amplitude threshold, the opening price must lie within five percent of the ten-day moving average, and the company must have a nonempty name for an outstanding convertible bond. The accompanying examples express these conditions as an intersection of filters. The article presents range as a volatility criterion, proximity to the average as a stability or value signal, and convertible-bond issuance as an indicator of market interest, but it provides no empirical evidence that these interpretations predict returns.

The stated caveats include market losses, overconcentration or excessive diversification driven by convertible-bond interest, and potentially limited growth at companies with stable performance. It recommends adding fundamental and technical measures and restricting the number of selections. No backtest results, portfolio rules, or performance evaluation are supplied, so the screen is best understood as a starting specification rather than a validated strategy.

Key ideas

• The screen selects shares whose prior range exceeds the stated threshold.
• The opening price must be within five percent of the ten-day moving average.
• Eligible companies must have a named outstanding convertible bond.
• The article recommends considering company fundamentals alongside technical filters.
• It provides no backtest evidence or portfolio-level performance results.

Tags

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