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 Chinese equity screen filters for stocks in the beverage and alcohol import-export sector, with amplitude above 1 and a positive ten-day return below 35%. The stated rationale is to focus on shares showing price movement and recent gains that have not…
This Chinese equity screening proposal selects stocks with an amplitude above 1, a largest daily decline between 4% and 5%, and positive institutional direction. It interprets the price movement as a market-condition signal and institutional buying interest…
This post presents a Chinese A-share stock screen based on daily price range and a large-order net-volume ranking, while excluding Beijing-listed stocks. It frames the approach as a way to find active stocks and potential medium- to long-term opportunities.…
This review evaluates an RSRS market timing strategy out of sample across several Chinese broad-market indices from March 2017 to November 2019. It reports generally positive timing results, strongest on the CSI 300, while the CSI 500 results were more…
The post describes a Chinese stock-selection screen using three conditions: turnover between 3% and 12%, membership in a beverage and alcohol-related industry, and a current daily low below the previous day's low. It presents the screen as a way to combine…
This document describes a Chinese equity screening rule that selects stocks when daily high-low amplitude exceeds 1%, the KDJ indicator has just formed a golden cross, and return on equity has exceeded 15% in each of the past five years. It includes…
This research note outlines a framework for evaluating funds and constructing allocations across active equity funds, enhanced index funds, and active bond funds. For equity funds, it discusses classification and performance attribution using both holdings…
The document describes a Chinese stock-screening rule that selects shares with turnover between 3% and 12%, an appearance on the previous day’s market leaderboard, and a chart pattern classified as a rounded base. It presents this combination as a way to…
This strategy ranks a universe of ten US sector ETFs by their trailing 12-month rate of change. At each monthly rebalance, it selects the three strongest performers, assigns them equal portfolio weights, and exits holdings that no longer qualify. The…
This Chinese-language post presents a stock screen requiring a 14-period RSI below 65, first-level bid volume greater than first-level ask volume, and at least one limit-up event during the prior 25 days. The conditions combine a momentum-related indicator,…
This Chinese-language post describes a daily stock screen using three conditions: price amplitude above 1, at least two limit-up events within 500 days, and the 20-day moving average above the 120-day moving average. It frames amplitude as a measure of price…
The document describes a historical stock-selection screen for Chinese A-shares. It selects observations from 2021 where the daily high-to-low range exceeds 1% and turnover falls between 3% and 12%. The stated rationale is that a larger range may indicate…
The document presents a Chinese A-share stock screen combining three conditions: a 14-period RSI below 65, at least two limit-up sessions within the prior 500 days, and a positive ten-day return below 35%. It describes the filter as a way to find stocks with…
The document describes a low-lag trend line (LLT) designed to reduce the delay that comes with smoothing price data. It frames moving averages as a trade-off: longer windows smooth noise more effectively but respond more slowly, while exponential averages…
This document outlines a Forex and stock trading Expert Advisor that combines Fibonacci levels with two moving averages. It describes trading around price breakouts, with Fibonacci levels serving as a filter alongside the moving averages. The EA is said to…
This document presents a Chinese equity screening rule that combines RSI below 65, a stated increase in daily position or volume participation above 5%, and a shortening green MACD histogram on a 15-minute interval. The author interprets the RSI and increase…
This stock selection method combines three filters: rank stocks by volume ratio and retain the top 100, exclude Beijing-listed A-shares, and require the 30-day moving average to be rising. The stated rationale is to focus on relatively active stocks while…
The document summarizes research on time-series intraday momentum in US equity ETFs. It describes a signal in which the first half-hour return, measured from the prior close, predicts the final half-hour return in the same trading day. Using SPY data, the…
The document introduces attention and Transformer components, then adapts them to forecast stock returns from factor sequences. Its proposed architecture adds Time2Vec features to factor inputs, applies self-attention and encoder layers, and uses a…
The document proposes a Chinese stock selection screen combining daily price amplitude above a threshold, a measure of daily change in controlling shareholder holdings above a threshold in absolute value, and a rising KDJ K line. It provides example…
BandsFBA is described as a Bollinger Bands variant that applies filtering to the indicator’s leading behavior and damping. Its lagging line is said to respond asymmetrically in rising and falling markets, a design the description proposes for markets with…
This Chinese stock-selection post describes screening shares in the metaverse theme using two technical conditions: the prior close must be at or above its 250-day moving average, and the K value of a 9,3,3 stochastic indicator must be below 20. The moving…
This Chinese equity screen combines three conditions: daily amplitude above 1, a positive weekly MACD histogram, and appearance on the previous day's Dragon-Tiger list, which highlights stocks with notable trading activity. The stated rationale is to find…
These reading notes summarize an active, company-focused approach to equity investing. They organize stock selection around business quality, valuation, and timing, emphasizing industry structure and durable company advantages over tracking short-term…