A-Share Stock Screen Using Price Range, Relative Volume, and Convertible Bonds

Summary

The document outlines a Chinese A-share screening rule that selects stocks with a daily high-low range of at least one percent, relative volume between 1.5 and 6 times its five-day average, and a nonempty outstanding convertible-bond name field. It interprets the range as a sign of movement and the volume band as active but not extreme trading. It also includes example formulas and Python-style implementation guidance.

The accompanying rationale and caveats are not fully consistent: the text associates the convertible-bond field with lower debt risk, then warns that outstanding bonds may signal repayment concerns. It acknowledges that the screen omits company fundamentals and other external factors, and suggests adding indicators or broader analysis. No backtest, returns, risk estimates, or validation are provided, so the proposed longer-term use is not established by evidence. The rule is best understood as a screening hypothesis requiring careful data checks and independent evaluation.

Key ideas

• The screen combines daily price range, relative volume, and a convertible-bond data field.
• Relative volume is measured against a five-day average and constrained to a stated band.
• The document's interpretation of outstanding convertible bonds as a risk filter is internally inconsistent.
• The rule omits fundamental and external information and has no reported performance validation.

Tags

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