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
This document describes an equities screening rule combining a turnover range, beverage and alcohol industry classification, and a comparison between displayed best bid and ask quantities. It presents the intended screen as selecting stocks with turnover…
This note introduces the Easley, Kiefer, O’Hara, and Paperman (EKOP) model to explain how informed and uninformed trading can shape a stock’s bid-ask spread. It describes a discrete-day, continuous-within-day setting in which information events may be good…
This document describes a short-term Chinese equity screen using three conditions: a share price below 12, more than two limit-up sessions within ten days, and amplitude above one. It frames repeated limit-ups as a possible sign of continued upside and…
This stock-screening idea combines three conditions: a rising 30-day moving average, three consecutive declining sessions, and a reported increase in position or capital inflow greater than five percent. The rationale pairs a positive longer-term trend with…
This Chinese equity screen requires turnover between 3% and 12%, a rising DEA condition, and a reversal pattern described as a rebound after a short pullback. The note frames turnover as a measure of trading activity and rising DEA as evidence of an upward…
This Chinese stock-selection rule combines three filters: rank stocks among the top 100 by volume ratio, rank the top 100 by the absolute difference between the previous day’s limit-down price and opening price, and require at least two limit-up days within…
This note describes a Chinese equity screen that selects beverage and alcohol import-export companies in 2021 when the daily high-to-low range exceeds 1% of the low. The stated rationale is that larger ranges may indicate volatility and return potential,…
The post presents a Chinese-stock screening idea that combines a price-amplitude threshold with a range for yesterday’s turnover multiplied by today’s auction volume relative to yesterday’s volume. It also requires circulating market capitalization above a…
The post asks why a BigQuant strategy raises a parser error near FROM. Its factor expression defines several intraday features, including a bid-ask spread measure, weighted order-book volume imbalance, early-session price movement, and a volume ratio, then…
The document describes a TD-style timing system attributed to Thomas DeMark. It begins with a setup: compare each close with the close a fixed number of bars earlier, and require that relationship to persist for a specified run of bars. A falling sequence…
This Chinese-language post outlines a stock screen combining daily amplitude above 1, a condition described as main-force control on the prior day, and a newly formed KDJ golden cross. It interprets the range condition as a sign of greater movement, the…
This Chinese-language note proposes a daily, after-close stock screen requiring MACD to be positive and the reported daily position-increase share to exceed 5%. It then ranks qualifying stocks by descending popularity or heat, with an example that returns…
This Chinese-language strategy note describes a stock-selection screen combining turnover between 3% and 12%, a rising DEA measure, and a 20-day moving average above the 120-day average. It presents the screen as a way to find stocks with trading activity…
The document explains how to use ThetaData as a historical data source for LumiBot backtests covering stocks and options, as well as other asset types. It supports minute and daily bars directly; hourly bars can be built from minute data. Downloaded data is…
This post outlines a China A-share screening rule for stocks classified in the metaverse sector. It first describes selecting names with prior-day turnover above a threshold and positive institutional activity, then gives a final rule using prior-day…
This post reports a suspected mismatch in BigTrader v35 minute backtests after an ETF share split. The author says the strategy-visible position fields—quantity, cost price, last price, and market value—appeared to retain their pre-split values, while a…
The document presents a Chinese equity screening rule that selects stocks with amplitude above 1, circulating market capitalization above 10 billion yuan, and at least two limit-up events over the prior 500 days. It frames the combination as a way to find…
This post describes a Chinese stock screen based on daily amplitude, circulating market capitalization, and association with a robotics concept. Its narrative specifies amplitude above 1, a market-cap threshold above 10 billion yuan, and a cap below 10…
This post presents a Chinese equity screening rule combining RSI below 65, a rising KDJ K line, and an amplitude measure above 1. The accompanying indicator reference uses a 14-period RSI, a 9-period stochastic calculation with 3-period smoothing, and…
The document proposes a Chinese equity screen based on a daily price range above a stated threshold, a product combining the prior day's turnover rate with the ratio of current auction volume to prior volume, and a closing price below 12. It frames these…
This weekly market review summarizes Chinese economic and financial developments for August 8–12, 2022. Its macro section reports trade growth and foreign-exchange reserve changes, alongside selected global policy and company news. The market section…
This brief strategy note outlines an equity selection approach using a random forest regression model. It adds features such as beta and technical indicators, including MACD and Williams %R, and predicts a return-style target calculated from the difference…
This research summary proposes measuring whether trading in a stock is unusually one-sided. It classifies five-minute candles by their bodies as consensus or non-consensus activity, then measures consensus volume as a share of daily volume. Splitting that…
This Chinese stock-selection example combines three filters: a daily net increase in holdings above 5%, circulating market capitalization between 5 billion and 10 billion yuan, and a rising 30-day average, implemented by comparing it with a 10-day average.…