Stock Screening by Price Range, Turnover, and Convertible Bond Data

Summary

This document proposes an equity screen requiring daily price amplitude above a threshold, turnover within a specified band, and a nonempty name for an outstanding convertible bond. Its indicator reference expresses the range and turnover filters, then combines them with a check on convertible-bond data. The Python example retrieves turnover and bond information and filters candidate stocks; it also describes ranking by popularity, though the ranking field and the amplitude condition are not implemented consistently in the example.

The article frames the conditions as measures of volatility, trading activity, and convertible-bond status, and suggests supplementing them with valuation, momentum, or risk indicators. It gives no backtest, evidence that bond status predicts stock performance, or details about data timing and survivorship. The relationship between an outstanding bond and the stock’s prospects is asserted rather than demonstrated, and fundamental and market conditions are acknowledged as omitted inputs.

Key ideas

• The proposed screen combines a minimum amplitude, a bounded turnover rate, and convertible-bond information.
• The reference formula and Python example differ in how they express or implement some conditions.
• The article suggests adding valuation, momentum, and risk measures for broader selection.
• No empirical evidence is provided for the predictive value of the selected features.

Tags

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