Screening Mainboard Stocks by Intraday Move and Convertible Bond Status

Summary

This proposed Chinese mainboard stock screen combines a daily price-move condition, an amplitude filter, and a requirement that the company have a nonempty outstanding convertible-bond name. The article presents amplitude as a measure of price fluctuation and the bond condition as a possible clue about corporate financing or credit. It also gives indicator and Python examples, then suggests adding company-size and financial filters or using a longer holding horizon.

The screen is not supported by reported backtest results or return evidence, and the article warns that price data alone may miss financial condition and long-term value. There is also an implementation inconsistency: the written rule calls for a rise greater than 1%, while the displayed formula combines a decline threshold with a rise threshold, making the intended price condition unclear. The Python example checks a close-to-open gain and does not clearly implement every stated filter. The rule and code therefore need reconciliation before practical use.

Key ideas

• The proposed screen requires an amplitude condition, an outstanding convertible-bond name, and a daily rise greater than 1% in mainboard stocks.
• The article treats amplitude as a measure of price fluctuation and bond status as financing context.
• No historical performance test or evidence of profitability is presented.
• The displayed formula conflicts with the written positive-return condition.
• The Python example does not clearly implement all of the stated filters.

Tags

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