A Stock Screen for Volatility, Convertible Bonds, and Limit-Down Pricing

Summary

This post proposes screening Chinese stocks for daily amplitude above 1%, a nonempty name for outstanding convertible bonds, and a prior-day 9:15 matching price at the limit-down level. It presents the filters as a way to focus on volatile stocks, companies with convertible-bond links, and unusual short-term price behavior. The post includes formula and Python examples, but it does not report backtest or trading results.

The author warns that sudden price movements can be noisy, the screen is short-term, and frequent trading may increase complexity and risk. It also notes that the rules could exclude otherwise attractive stocks. Suggested refinements include considering industry, fundamentals, historical price behavior, other technical or volume indicators, and longer-term trends. The description does not establish predictive value, and the code's data and time definitions would need careful review before use.

Key ideas

• The screen combines amplitude above 1%, an outstanding convertible-bond name, and a prior-day 9:15 limit-down matching price.
• The post frames volatility and the bond condition as screening characteristics, not proven measures of company quality.
• Short-term price shocks may create noisy signals and increase turnover and trading risk.
• The author suggests adding fundamental, industry, historical-price, and longer-term trend information.
• No performance evidence is provided for the proposed rules.

Tags

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