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.
22,592 documents
The article argues that algorithmic trading has changed the experience of retail equity investors. It describes quant systems as data-driven and fast, and claims their trading can contribute to index moves that diverge from the performance of individual…
This post describes a simple Chinese A-share stock screen: retain shares with turnover rates between 3% and 12%, exclude Beijing-listed stocks, and require return on equity to exceed 15% for five consecutive years. The stated rationale is to favor companies…
The report outlines a framework for timing equity factors whose performance has become less stable. It first examines indicators such as valuation spreads and pairwise correlations, testing their relationship with future factor returns. It then uses a random…
This post describes a Chinese equity screen that combines a 14-period RSI below 65 with membership in the beverage and alcohol import-export industry, Shenzhen main-board listing, and specified price-to-earnings and price-to-book ranges. It presents the…
This post describes an equity screen restricted to the metaverse industry. It selects companies with simultaneous bullish crossovers in MACD, the five-day and ten-day moving averages, and the five-day and twenty-day moving averages. It further requires…
This assignment response translates two discretionary stock approaches into rule-based proposals. One combines recent institutional fund inflows, positive company earnings, improving per-share profit, elevated trading volume, and a price ceiling relative to…
This Chinese stock-screening post proposes selecting shares with daily amplitude above 1, more than one year since listing, and seven consecutive down sessions. The author frames large amplitude as a sign of active trading and the extended decline as a…
The document summarizes a 2020 study on whether investor attention measured through Baidu search activity can help forecast volatility in Chinese equities. The researchers compare a baseline GARCH model with an expanded version that includes search volumes…
This presentation interprets findings from a 2021 survey of Chinese quantitative investment institutions and discusses how the sector was developing at that time. It covers strategy mixes, research organization, talent, artificial intelligence, alternative…
This meetup Q&A contrasts futures CTA strategies, often framed around trend following, with equity multi-factor strategies that combine signals such as value, momentum, quality, and size. It outlines a Bollinger Band example for futures: calculate a…
This document describes a Chinese equity screen that combines a 14-period RSI below 65, market capitalization of at least 200 million, and earnings growth in 2021. It presents the screen as a way to join a technical condition with size and fundamental growth…
The document describes a Chinese stock screen using ranked fund-flow strength, a 2019 dividend ratio above 25%, and a 15-minute MACD histogram whose negative bars are shortening. The MACD condition is presented as a possible sign of improving short-term…
This proposed equity screen selects beverage and alcohol companies with turnover between 3% and 12% and a 2019 dividend ratio above 25%. The document supplies example screening formulas and Python logic that combine industry membership, historical dividend…
The document presents a Chinese equity screen combining a daily price range greater than 1%, market capitalization below 10 billion yuan, positive net profits over the latest four quarters, and a share price of at least 18.5 yuan. It frames these conditions…
This stock-selection approach combines a daily turnover band of 3% to 12%, a positive product of price change and large-order net flow, and a Morning Star candlestick signal associated with Kute Intelligent. The document describes the pattern as a way to…
The document outlines a proposed screen for stocks associated with the metaverse theme. Its final stated rule selects companies with market value no higher than 10 billion yuan, circulating shares no greater than 5.5 billion, and a daily increase in holdings…
This document presents an A-share selection rule combining turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and an intraday range of at least 1% relative to the prior close. It frames turnover and range as measures…
The document describes an A-share screen requiring an intraday high-low range above 1%, circulating market capitalization above 10 billion yuan, and a daily increase above 5%. Although the narrative calls the last condition an increase in holdings, the…
This proposed daily screen selects stocks in the metaverse sector when KDJ has just formed a bullish crossover and the previous trading day was not a limit-up session. It proposes making the selection before 10 a.m. for trading on the same day. The note…
This proposed stock screen combines a daily volatility filter, a price trend signal, and a profitability criterion. It looks for stocks with an intraday range above 1%, a close crossing above a five-period moving average, and return on equity above 15% for…
This proposed screen targets stocks classified in the metaverse sector that show a bullish MACD crossover and had a dividend ratio above 25% in 2019. It aims to combine a technical signal with a historical shareholder-payout measure. The article describes…
This Chinese-equity screening idea combines daily price movement with a concentration filter. It selects stocks whose intraday range exceeds 1%, whose daily decline falls between 4% and 5%, and whose concentration measure is no higher than 20%. The…
This research summary examines quantitative stock selection among Chinese technology companies. It highlights research and development spending as a candidate signal and also discusses profitability, earnings growth, valuation, company size, turnover, and…
This stock screen combines three conditions: daily high-low range exceeds one percent of the low, the J line of a KDJ indicator has just crossed above its D line, and the security has a nonempty name for an outstanding convertible bond. The article provides…