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 stock screen narrows the universe to Shenzhen Main Board listings and combines liquidity, size, and valuation constraints. It specifies turnover between 3% and 12%, a circulating share count no greater than 5.5 billion shares, price-to-earnings between…
This Chinese A-share screening proposal combines three conditions: at least two limit-up sessions within a 500-day lookback, a shortening MACD histogram on 15-minute bars, and RSI below 65. It frames the historical limit-up count as a way to include stocks…
The document outlines a data mining workflow for investment research, moving through data collection, cleaning, feature extraction, structuring, storage, analysis, and evaluation of results. It frames this workflow as a way to turn growing volumes of market…
The document presents a two-sided trading strategy based on crossovers between short and long moving averages of RSI. A downward crossover opens a long position and closes a short; an upward crossover closes a long and opens a short. The example uses a…
The document describes an equity screen combining daily amplitude above 1, RSI below 65, and seven consecutive declining sessions. It presents the conditions as a way to find volatile, weak stocks that might rebound, then suggests ranking selected stocks by…
This summary describes a style-neutral, multi-factor stock selection system for Chinese A-shares built from short-horizon price and volume behavior. The report develops nearly 200 trading-oriented alpha factors using daily stock data, aiming to capture the…
This A-share screening concept combines an amplitude threshold, a multi-window price-range condition described as a curved or rounded shape, and descending ranking by a measure of stock popularity. The proposed rationale is to identify shares with a…
This A-share screening idea combines daily price and volume conditions with a fundamental growth filter. It selects stocks with an amplitude above 1, current volume above 10,000 lots, an opening price above the prior close, and year-over-year growth in net…
This Chinese-language post proposes a stock selection screen combining three conditions: convergence of the 5-, 10-, 20-, 30-, and 60-day moving averages; at least one limit-up event during the preceding 25 days; and a 10-day gain greater than zero but below…
This article proposes a Chinese stock screen combining a morning-star candlestick pattern, daily amplitude above a stated threshold, market capitalization below a stated ceiling, and positive adjusted net profit. It presents the screen as a blend of…
The document describes a Chinese A-share stock screen that excludes Beijing-listed shares, keeps stocks with turnover between 3% and 12%, and selects candidates when the absolute daily price change multiplied by net trading volume attributed to very large…
This post proposes a Chinese equity screen requiring turnover between 3% and 12%, a positive product of the day's percentage change and super-large-order net quantity, and positive net buying by major participants during the opening auction. Its indicator…
This post describes a Chinese stock screen combining a beverage and alcohol industry classification with turnover between 3% and 12% and positive afternoon large-order net flows. Its accompanying indicator and Python examples express the screen through…
This proposed equity screen looks for stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and evidence of institutional buying. The rationale is to combine recent price behavior and trading activity with institutional ownership as a…
This stock-selection rule screens for shares with daily MACD above zero, turnover between 3% and 12%, and circulating market value between 5 billion and 10 billion yuan. The positive MACD condition is used as a sign of upward momentum, while the turnover and…
The report examines how fundamental factors predict stock returns differently across groups defined by market capitalization, profitability, and volatility. It argues that factor weights should vary by group rather than applying one set of weights across the…
This research review studies whether stocks with unusually high trading volume earn a premium that reflects information about the real economy. It constructs high-volume premiums from stocks ranked by recent abnormal volume, then tests whether the premiums…
The article explains a method for separating a mutual fund’s total alpha into selection alpha and weighting alpha. Selection alpha is estimated by replacing reported portfolio weights with market-cap weights, isolating the contribution of choosing stocks;…
This overview discusses two research approaches to using deep learning for equity factor discovery. The first builds stock embeddings from co-investment patterns in fund portfolios: random walks on a stock-fund graph produce sequences for skip-gram training.…
This proposed Chinese equity screen combines a trading-range threshold above one percent, return on equity above 15 percent in each of five consecutive years, and at least one limit-up event in the preceding 25 days. The stated rationale pairs a volatility…
This stock screen combines three filters: daily trading range above one percent, at least two limit-up events during the past 500 days, and ranking by a heat measure from highest to lowest. The accompanying rationale treats a larger range as a sign of…
This brief forum exchange addresses whether the minus-one term in a short-term stock factor formula removes shares trading below one currency unit. The reply says it does not: the subtraction applies to the value produced by a maximum operation. The…
This proposed stock screen combines a next-day increase in the share of added positions above 5% with a prior day’s 9:15 matched price at the limit-down level, and restricts the period to 2021. The article interprets the position increase as a sign of…
This document outlines an A-share stock screen combining RSI below 65, an outer-to-inner trading volume ratio above 1.3, and a signal intended to identify the start of a strong upward move. It provides a long technical indicator formula and a Python example…