A Volatility and Convertible Bond Screen Excluding Recent Limit-Up Stocks

Summary

This A-share stock screen combines a daily price range threshold with the presence of an outstanding convertible bond and excludes stocks that hit the upper price limit on the previous session. The article frames these filters as a way to find volatile stocks with a convertible bond connection while avoiding shares after a sharp one-day rise. It includes sample screening logic and a Python implementation outline.

The document offers no backtest, performance data, or evidence that the filters produce an edge. Its code and written rules do not align perfectly: the prose specifies a convertible bond name requirement, while the Python uses bond data and adds other filters, including listing age, industry exclusions, and recent price behavior. The article itself cautions that price and trading characteristics omit fundamentals and may select speculative companies; the prior-day limit-up exclusion can also miss active opportunities.

Key ideas

• The screen selects stocks with a daily price range above its threshold and outstanding convertible bond data.
• It excludes stocks that reached the upper price limit on the previous trading day.
• The article warns that price-based filters can draw in speculative companies without sound fundamentals.
• The Python example adds eligibility and price-history filters beyond the stated core screen.
• No backtest or measured performance is provided.

Tags

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