A-Share Stock Screen Using Turnover, Convertible-Bond Listing, and Opening Gap

Summary

The document proposes an A-share stock screen combining market activity and opening-price conditions. Its stated logic selects stocks with amplitude above a threshold, a nonempty convertible-bond name field, trading volume above a stated level, and an opening price above the previous close. It then ranks candidates by market capitalization. The accompanying formulas and Python example offer implementation references, although some details differ: the formula uses a larger opening-gap threshold, while the code adds exchange, listing, region, industry, and opening-equals-high filters.

The author says volume and an upward opening can identify active stocks, while the convertible-bond field is treated as a company-related filter. The text cautions that such screens may chase short-lived themes, miss less active candidates, and misclassify stocks because of noisy price and volume conditions. It suggests combining technical filters with company analysis, but reports no backtest, returns, or evidence that the screen predicts future performance. The differing criteria also mean an implementation should first resolve which version is intended.

Key ideas

• The screen combines amplitude, a convertible-bond name field, trading volume, and an opening-price condition.
• Candidates are ranked by market capitalization.
• The formula and Python example add different thresholds and filters, so their criteria are not identical.
• The document warns that volume and opening-price signals can be noisy and can favor short-lived market themes.
• No performance results or backtest are provided.

Tags

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