Screening for Volatile Stocks with Recent Gains and Convertible Bonds

Summary

This stock screen combines a volatility condition, a recent large daily gain, and the presence of an outstanding convertible bond. It aims to identify stocks with notable recent price movement and a particular financing characteristic. The document also suggests refining the selection with financial instrument attributes and longer-term fundamental and value analysis.

The evidence is a description of the screening rules and illustrative indicator logic; no backtest, performance data, or validation is provided. The criteria are not fully consistent: the prose refers to an amplitude threshold above one and a qualifying gain within 25 trading days, while the sample formula compares the high-low range with ATR and appears to test a single day. The proposed bond filter may narrow the universe and concentrate the screen in short-term market activity. Treat it as an unvalidated screening idea, and verify data definitions and implementation before relying on it.

Key ideas

• The screen requires a volatility condition and a large daily gain within a recent trading window.
• It also selects companies with a nonblank outstanding convertible bond name.
• The document recommends adding financial instrument and longer-term fundamental filters.
• No performance evidence is supplied, and the prose and example formulas do not align fully.

Tags

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