Screening Stocks by Price Range, Limit-Ups, and Convertible Bond Status

Summary

The document describes a daily stock screen combining three conditions: price amplitude above one, at least two limit-up events over the prior 500 days, and a nonempty name for an outstanding convertible bond. It presents this as a way to focus on recent price behavior while also flagging stocks associated with convertible bonds, whose redemption circumstances may affect the underlying shares.

It gives formula references for amplitude and rolling limit-up counts, along with illustrative Python-style screening steps. The accompanying discussion cautions that recent price signals may miss long-term fundamentals, can produce false signals amid market volatility, and require accurate understanding of convertible-bond status. It suggests adding market-index and financial data and refining the filters. The examples are references rather than a fully validated implementation: the document provides no backtest, performance statistics, universe definition, or detailed treatment of corporate actions and market-specific limit-up rules.

Key ideas

• The screen combines daily amplitude, a rolling count of limit-up events, and convertible-bond name information.
• The stated thresholds are amplitude above one and at least two limit-ups in 500 days.
• The article links convertible-bond status to possible effects on the underlying stock.
• It warns that recent price filters may miss fundamentals and create false signals.
• The sample formulas and code are presented as references, without backtest evidence.

Tags

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