Screening Chinese Stocks for Range, Recent Limit-Ups, and Convertible Bonds

Summary

This stock screen selects names whose daily high-low range exceeds one percent of the low, that recorded at least one limit-up day in the preceding 25 sessions, and that have a nonempty outstanding convertible-bond name field. The resulting names enter a candidate investment pool. The accompanying explanation interprets the range as a sign of volatility and recent limit-up activity as a possible indication of market attention, while treating the bond field as an additional company filter.

The document provides example formulas and Python-style logic for applying these conditions to daily data. It also acknowledges that historical signals may not predict future returns, that the three filters omit many relevant factors, and that an outstanding bond name does not establish investment merit. It suggests incorporating economic, industry, and convertible-bond measures such as conversion premium. No backtest, portfolio construction rules, or return and risk results are supplied, so the screen should be understood as a candidate-generation rule rather than a demonstrated strategy.

Key ideas

• The screen requires a daily high-low range above one percent of the low.
• It also requires at least one limit-up event during the preceding 25 sessions.
• A nonempty outstanding convertible-bond name is used as a company-level filter.
• The document warns that the selection criteria may be biased and do not establish investment value.
• It suggests adding economic, industry, and convertible-bond measures, but reports no performance test.

Tags

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