Screening Stocks by Intraday Range, Auction Value, and Convertible Bonds

Summary

This stock screen selects shares with an amplitude above 1, ranks them by the day’s auction amount, and keeps the top five if the company has an outstanding convertible bond. The document interprets the bond condition as a way to include financing considerations, while noting that convertible bonds combine fixed-income features with potential upside linked to equity value.

It gives a formula reference and a Python example, but no backtest or performance evidence. Its stated risks include overlooking technical indicators and possible liquidity constraints in convertible bonds. It suggests adding measures such as moving averages or MACD and broadening the financing-related criteria. The examples contain implementation shorthand, so data definitions and ranking logic would need to be verified before the screen could be reproduced reliably.

Key ideas

• The screen requires an amplitude above 1 and ranks eligible stocks by auction amount.
• It selects the top five stocks whose issuers have an outstanding convertible bond.
• The bond condition brings issuer financing into the selection process, but the document provides no evidence that it reduces risk.
• The examples are not accompanied by a backtest, and their data and ranking definitions require validation.

Tags

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