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 report reassesses valuation, growth, technical, and risk factors in Chinese A-shares after removing industry and style influences. Its core method is to adjust factor data for exposures such as industry, market capitalization, or beta, then test whether…
This Chinese-language article presents a daily stock screen using three conditions: amplitude above 1, a controlling-shareholder measure above 21 in absolute value, and the closing price above the previous day’s low. It provides example implementations in…
This proposed equity screen looks for stocks with daily amplitude above one percent, excludes Beijing-listed shares, and applies a condition described as a rising bottom. The post presents formula examples using a 60-day lookback and suggests that the setup…
This stock-selection proposal combines three technical conditions: daily amplitude above one percent, weekly MACD above zero, and alignment among at least five moving averages. It frames the range and MACD conditions as signs of strength and direction, while…
Fundamental quantitative investing applies statistical methods and algorithms to company accounts, industry information, and macroeconomic data to rank stocks by estimated value or quality. The document describes analyzing profitability, financial strength,…
The paper examines how five emotions expressed on Sina Weibo—anger, disgust, fear, joy, and sadness—relate to Chinese stock returns. It uses machine learning to classify posts and wavelet analysis to study how the relationship changes over time and across…
This competition entry modifies a Deep Alpha convolutional neural network by supplying five time slices for each of 98 factors, rather than using a single slice. The network structure and most parameters remain close to the original model because training…
This report examines changes in concentrated holdings among Chinese active equity funds using quarterly disclosures and a daily estimate of fund exposure to a core group of crowded stocks. It compares the core group’s holdings over time, separates changes in…
This Chinese A-share screening idea combines three conditions: a positive ten-day return below 35%, a 14-period RSI below 65, and positive main-fund net inflow on the previous day. The accompanying description frames the return band and RSI as technical…
This document introduces the Percentage Price Oscillator, an indicator calculated as the difference between a fast and a slow exponential moving average divided by the slow average. Expressing the spread relative to the slow average makes the oscillator a…
This document describes a stock screen that combines market activity, reported earnings growth, and recent attention. It selects stocks with turnover between 3% and 12%, parent-company net profit growth above 20% and no more than 100%, and a listing on the…
This document describes a Chinese equity screening rule combining trading activity, order-book depth, and price position within Bollinger Bands. It selects listed stocks with turnover between 3% and 12%, greater buy-one than sell-one volume, and a close…
This Chinese equity screening idea selects stocks whose daily high-to-low range is at least 1%, requires a nonempty name for an outstanding convertible bond, and ranks candidates by the day’s auction amount to retain the top five. The stated rationale is to…
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 document describes an A-share stock screen combining RSI below 65, MACD above zero, and a factor multiplying the price change by a measure derived from turnover and very large orders. It frames RSI as a filter on short-term weakness, positive MACD as an…
This document outlines a daily, pre-open A-share screen requiring MACD above zero, a share price below 12, and prior-session actual turnover between 3% and 28%. It presents the positive MACD reading as a trend filter and turnover as a measure of trading…
This document presents a short-term A-share screen with three conditions: amplitude above 1, the current low below the previous session’s low, and a ten-day return greater than zero but below 35. The text interprets the range and lower low as signs of…
This document describes an A-share screen combining RSI below 65, seven consecutive sessions in which the close is below the open, and prior-day auction turnover above 0.26. The rationale is that RSI may avoid overbought stocks, a run of down days indicates…
The proposed Chinese equity screen combines a technical filter with a fundamental growth condition. It selects stocks with an RSI below 65 and year-over-year growth in net profit attributable to parent-company shareholders above 20% and at or below 100%,…
This description outlines a MetaTrader expert advisor that trades from price action around the open candle and can send mobile push notifications. It identifies hourly charts, major forex pairs, and NASDAQ stocks as intended markets, and recommends trying…
The article proposes screening Chinese A-share stocks using three conditions: a dividend payout ratio above 25% in 2019, RSI below 65, and MACD above its zero line. It describes the dividend measure as a fundamental filter and RSI and MACD as technical…
This Chinese equity screening example combines three technical conditions: amplitude above 1%, an upward-moving short average or price crossing above a three-day average, and a rising or supported recent low. The document gives formula and Python-style…
This document describes a Chinese equity screening rule that selects Shenzhen main-board stocks with daily amplitude above 1%, a year filter for 2021, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. It provides both an…
This short BigQuant assignment describes a daily stock-ranking approach built from a combination of total equity and trailing-twelve-month average return on equity. Each day, the strategy holds stocks with comparatively high values of the combined factor. It…