A Turnover and Moving Average Screen for Convertible Bond Issuers

Summary

This stock selection screen combines trading activity, price position, and convertible bond information. It selects Shanghai A shares with turnover between 3% and 12%, an opening price within about 5% of the 10-day closing price average, and a nonempty name for an outstanding convertible bond. The article includes indicator logic and a Python-style reference implementation, but these implementations are not fully consistent: the prose specifies an opening-price band, while the sample code checks whether the condition occurs on any historical observation.

The author cautions that the screen omits company fundamentals and industry competition, and that its convertible bond requirement can exclude other candidates. Suggested refinements include adding financial and industry measures or loosening the bond filter. No backtest results or evidence of predictive performance are provided, so the criteria should be understood as a proposed screen rather than a validated strategy.

Key ideas

• The screen combines a turnover range with an opening price near the 10-day moving average.
• It also requires a nonempty name for an outstanding convertible bond.
• The article’s sample implementation may apply conditions across historical observations rather than only to the current session.
• The author notes that omitted fundamentals and the bond requirement can create blind spots.
• The post provides no performance evidence for the selection rules.

Tags

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