A Volatility and Two-Day High Screen with Convertible Bond Data

Summary

This Chinese-language note describes an equity screen combining three conditions: amplitude above 1, a high equal to the highest high over two days, and a nonempty field for the name of an outstanding convertible bond. It frames the amplitude and recent high as signs of possible short-term upward momentum, and presents the bond field as an additional fundamental consideration. Example formulas and pseudocode show how the conditions might be combined with other technical and fundamental filters.

The note cautions that the screen relies heavily on technical and market factors and may overlook company fundamentals or other risks associated with convertible debt. It suggests adding fundamental measures and adjusting indicator weights, but does not define those measures or provide evidence from a backtest. The threshold’s units and the bond-field condition’s rationale are also not established; a bond name being present does not by itself indicate credit quality or repayment risk. Treat this as a preliminary screening concept rather than a validated trading strategy.

Key ideas

• The screen selects stocks with amplitude above 1 and a high matching the two-day highest high.
• It also requires a nonempty outstanding convertible bond name field.
• The note interprets the price conditions as possible short-term upward momentum.
• It recommends adding other technical and fundamental filters, but provides no tested results.

Tags

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