Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
64 documents
This brief forum exchange answers whether VeighNa, also known as vn.py, requires Tushare as the sole source of historical A-share data for backtesting. The response says the framework supports multiple data services and points readers to its documentation…
This release overview describes VeighNa 4.0 and its new vnpy.alpha module for developing machine-learning, multi-factor strategies. The module is organized around feature datasets, model training, strategy research, workflow management, and example…
A VeighNa forum user asks how to keep a displayed value C synchronized with inputs A and B. C is initially calculated as the difference between A and B, but editing either input leaves C at its previous value. The user also wants C to remain editable like…
The post asks why Alpha158 labels use different forward-return horizons in two implementations. It compares a label spanning the close at T+1 to the close at T+3 with a Qlib label spanning T+1 to T+2, then relates those choices to China’s T+1 stock-trading…
This forum exchange clarifies a difference between ScriptTrader and VeighNa’s CTA strategy module. A user asks whether ScriptTrader supports stop orders, noting that the module is described as supporting multiple exchanges and instruments, hedging between…
This Chinese research summary examines whether intraday data can support sector rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing industry level factors inspired by high…
This post describes adapting VeighNa to use the GoldMiner market data service as a source of historical bars. It outlines the author's account of the free tier's available history, then highlights integration details: mapping bar intervals, reversing the…
The article describes an integrated order flow imbalance factor built from changes in bid and ask quantities across five limit order book levels. It explains how each level’s imbalance can be normalized by typical depth, then combined with principal…
This short forum exchange concerns choosing a broker or trading counter for automated stock trading in China. One participant reports that a broker had announced it would stop allowing personally developed software to connect through its CTP interface.…
This forum thread discusses installing vn.py on an Apple Silicon Mac, with a particular focus on launching its CTP gateway. Participants point to the gateway project's installation guidance and identify Python environment conflicts as one possible cause. One…
The article explains a WebSocket subscription workflow for delivering minute-level Chinese A-share market data to a VN.PY strategy. It contrasts a persistent server-push connection with repeated HTTP polling, then outlines connecting to a data source,…
This forum exchange clarifies a VeighNa configuration message seen when running the platform from PyCharm. A participant explains that the missing data-service configuration notice does not by itself prevent the application from running. However, attempting…
This brief Chinese-language forum exchange asks whether a VeighNa strategy can subscribe to hundreds or thousands of stock instruments at once. A respondent says that subscribing to the whole market is possible, while the number of contracts a particular…
This guide explains how to organize data for VeighNa’s AlphaLab research workflow. It describes the roles of its directories, daily and minute bar files, index constituent records, and contract settings, then shows how preparation notebooks supply data…
The forum exchange answers a practical question about how VeighNa Trader discovers a custom strategy when launched through its example runner. The response says to find the default runtime directory in the trader window’s title bar, then put strategy files…
This post presents a Chinese equity screening idea that combines a MACD value above zero with year-over-year net profit growth between 20% and 100%, framed around 2021. It explains the intent as pairing price momentum with a fundamental growth filter. The…
A brief VeighNa forum exchange describes an order-timing problem in a strategy that constructs daily bars from intraday data. The user says the daily bar is completed at the 3 p.m. close, after which an order submitted by the strategy is canceled. They ask…
This forum exchange explains a common execution issue in daily-bar backtests. A trader submits a sell order using the current bar’s closing price, but the order is evaluated for execution on the following day. Since the next opening price may differ from the…
This tutorial explains how VeighNa’s backtesting engine replays historical daily bars to evaluate an equity strategy. It walks through configuring instruments, interval, dates, and initial capital; attaching a strategy and dated signal table; loading data;…
The document describes a Chinese A-share screening rule for main-board stocks. It selects shares with turnover between 3% and 12%, a circulating market value between 5 billion and 10 billion yuan, and weekly MACD above zero. It explains that the screen…
This event outline introduces advanced FinRL development topics, including the FinRL-Tutorials project, reinforcement-learning portfolio allocation, stock trading in China’s A-share market, and ensemble strategies. It distinguishes portfolio allocation from…
This forum post discusses a multi-timeframe CuatroStrategy implementation. Its five-minute handler updates a bar manager, waits for both five- and fifteen-minute data managers to initialize, then uses RSI and Bollinger Bands to place stop entry orders in the…
The report examines how factor evaluation can guide factor inclusion and, especially, factor weights in a multi-factor return model. It argues for evaluating single factors through optimized portfolios with controlled risk exposures, aiming to make measured…
This brief forum exchange answers how to fill in the vt_symbol field when adding a strategy in VeighNa. The reply gives two examples of the required convention: a futures contract identifier paired with its futures exchange suffix, and a stock code paired…