A-Share Screening with Range, Convertible Bonds, and Rising Lows
Summary
This A-share screening idea combines daily price amplitude above 1%, an outstanding convertible-bond name condition, and a rising-low signal. The note’s formula represents rising lows by requiring the latest low to exceed the lowest low over the preceding 60 sessions. The stated rationale is to find volatile stocks whose price may be improving from a local bottom and that are associated with an outstanding convertible bond. Formula and Python examples are included, although their calculations and bond filters are not fully consistent.
The author acknowledges that the screen ignores company fundamentals, including profitability and debt, and suggests adding measures such as price-to-sales and price-to-book ratios. No backtest results or performance evidence are given, and the meaning of the convertible-bond condition is not clearly reconciled between the description and code. The screen therefore offers a set of selection criteria to investigate, rather than evidence of a proven trading edge.
Key ideas
- The screen combines amplitude above 1%, a convertible-bond condition, and rising lows.\nThe formula defines rising lows using the latest low relative to a 60-session low.\nThe note warns that the screen omits fundamental measures such as profitability and debt.\nThe formula and Python example do not clearly implement the bond condition in the same way.\nNo historical performance test is reported.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.