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 document summarizes research on whether investor sentiment genuinely helps explain cross-sectional stock return anomalies or appears predictive because it is persistent. Persistent predictors can spuriously forecast returns when expected returns also…
This note presents an extended version of on-balance volume (OBV), a momentum indicator that accumulates volume according to whether price rises or falls. It argues that conventional OBV often reverses direction frequently and lacks clear signal levels. To…
This note presents an extended version of on-balance volume (OBV), a momentum indicator that accumulates volume according to whether price rises or falls. It argues that conventional OBV often reverses direction frequently and lacks clear signal levels. To…
The document describes three equity strategies built around a bull-bear indicator: a direct timing rule for broad indexes, monthly indicator-change rotation among industries, and index allocation based on the share of constituent stocks signaling a long…
This article explains resistance as a price area where selling may emerge as an advancing market reaches prior highs. Its demonstration identifies local maxima by finding prices higher than the immediately preceding and following observations, then marks…
This Chinese stock-selection post describes screening for shares with an intraday range above a threshold, high current trading volume, a higher opening price, and signs of institutional buying. Its rationale is that active trading and a strong open may…
This article proposes ListFold, a listwise learning-to-rank loss for factor-based long-short equity strategies. Its central design treats the top and bottom of a predicted stock ranking as equally important, so one coherent ordering can select both long and…
This Chinese stock-screening strategy combines three filters: daily amplitude above 1%, weekly MACD above its zero line, and a ratio between yesterday’s turnover rate and today’s auction activity within a stated band. The article frames the filters as a way…
This post proposes a stock screen using three conditions: daily amplitude above one, a top-five rank by the day’s auction amount, and a positive weekly candle with volume above the prior week. The weekly condition therefore combines price direction with a…
This post describes a daily stock screen for Shenzhen Main Board listings. It selects stocks with price amplitude above one, excludes stocks that closed at the daily limit-up on the prior session, and applies positive price-to-earnings and price-to-book…
This research summary describes high-frequency equity factors constructed from Chinese Level 2 market data, including minute bars, order-book snapshots, order queues, and trade-by-trade records. The proposed signals measure features such as return skewness,…
The proposed screen selects stocks whose price is near five moving averages, that were not limit-up stocks the previous day, and whose indicated price at 9:25 is less than 6% above the prior close. The article suggests that clustered averages may represent a…
This stock screen combines three conditions: daily price amplitude above 1%, at least one limit-up event during the previous 25 days, and a weekly price crossing a 30-week moving average. The article interprets high amplitude and a recent limit-up as signs…
The document introduces a stock factor study based on cumulative net money flow over the previous 20 trading days, scaled by the stock’s market capitalization on the current day. It presents this normalization as a way to compare flows across stocks and…
This weekly report reviews Chinese market conditions and fund activity, with particular attention to plans to include exchange-traded funds in the Stock Connect program and the approaching release of restrictions on shares in the first public REITs. It also…
This stock screen combines a price-range threshold, a geographic exclusion, and a moving-average trend filter. It removes Beijing-listed stocks, selects shares whose high-to-low range exceeds one percent, and seeks an upward short-term trend using moving…
This A-share screening method combines a relative strength index threshold with order-book volume and simultaneous bullish crossovers. It selects stocks with RSI below 65, bid-side volume greater than ask-side volume, and bullish conditions across MACD, KDJ,…
This note outlines an equity screen for stocks with a daily high-low range of at least 1% of the low, relative volume between 1.5 and 6 times its five-day average, and no limit-up close on the prior day. Its final stated selection rule also requires the…
This strategy combines a valuation screen with price, volume, and trend signals. It favors stocks with low price-to-book ratios, a new 60-day high, short moving-average crossovers in sequence, a daily volume increase relative to the prior day, and a positive…
This research summary describes a monthly industry rotation method built from price and volume behavior. It groups candidate signals into six categories: momentum, trading volatility, turnover, long-short comparison, price-volume divergence, and alignment…
This document describes a historical A-share selection rule combining daily turnover, the opening price relative to the 10-day moving average, and a calendar filter. It selects stocks with turnover between 3% and 12% whose open is within 5% of the 10-day…
This post outlines a Chinese A-share stock screen combining turnover between 3% and 12%, a rising DEA signal, and a previous closing price above the 250-day moving average. The filters combine trading activity with a technical momentum and trend check. The…
This post describes a Chinese A-share selection screen that keeps stocks with turnover between 3% and 12%, an outside-to-inside trade volume ratio above 1.3, and codes beginning with 60. The turnover band is presented as a way to focus on stocks with trading…
The document presents a Chinese stock screening idea combining a MACD condition, money flow strength ranking, and a focus on stocks that performed well during 2021. Its final stated logic adds a market capitalization floor of 10 billion yuan. The…