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 selects companies with a daily high-low range above 1%, market capitalization no greater than 10 billion, positive profits, and at least one daily gain of 10% or more during the previous 25 trading days. The note presents the…
This Chinese stock-screening note combines a daily price-range condition with persistent profitability and a pre-open auction return filter. Its initial criteria are a price range of at least one unit, ROE above 15% for five consecutive years, and an auction…
This research summary examines generalized linear models as ways to combine stock factor exposures into forecasts of future returns. Its workflow includes extracting features and labels, preprocessing features, forming training sets, and retraining on a…
This A-share screening proposal combines three conditions: MACD is above zero, the price-to-earnings ratio is positive, and the current close is above the prior day’s low. The note interprets the MACD filter as a sign of an upward trend, the valuation…
This note describes an A-share stock screen combining a daily price-range threshold, a 2021 date filter, and an increase in the K value of the KDJ indicator. Its indicator example adds conditions involving K crossing above D and reaching a high level; the…
This Chinese stock selection method screens after each trading day’s close for shares with MACD above the zero line, parent-company net profit growth greater than 20% and no more than 100%, then ranks qualifying stocks by market attention. The document…
This Chinese equity screening idea combines three filters: market capitalization below 10 billion yuan, positive profits, and a current-day low below the previous day’s low. It also requires an intraday amplitude greater than 1, with an example…
This tutorial shows how to test a long-only strategy using signals from daily and weekly data. It resamples daily price bars to weekly bars to calculate weekly RSI, then aligns that indicator with the daily series. Entries require both RSI readings to be…
This stock-selection post proposes screening for a daily range above a threshold, excluding stocks that closed at the limit the previous day, and requiring several moving averages to align. The accompanying rationale is that larger ranges may offer more…
This discussion explores representing Chinese stocks that hit the daily price limit as members of a shared hot theme, then counting limit-up names within each theme. The example is state-owned enterprise reform, where stocks from different industry sectors…
This stock selection approach combines three filters: daily amplitude above 1%, afternoon large-order net inflow, and circulating market value between 5 billion and 10 billion yuan. From stocks that pass, it proposes selecting the one with the highest gain.…
This summary of a 2018 A-share report reviews quantitative fund products, equity factor styles, and institutional responses to a difficult market structure. It says index-enhanced fund assets rose by 55.31 billion while hedged and actively managed…
This post proposes selecting Chinese stocks with price amplitude above 1, a MACD signal above the zero axis, and trading activity during 2021. It interprets larger amplitude as greater volatility and the MACD condition as a favorable buying signal. The…
This brief indicator note introduces the Consecutive Break (CB) measure and names a close-price input with upward and downward length parameters. Its pseudocode defines an upward count as the number of consecutive bars in which the close exceeds the previous…
This post describes a Chinese equity screen combining three conditions: daily price amplitude above 1, previous-day turnover above 60 million, and a 2019 dividend ratio above 25%. It presents the first condition as a way to find more volatile stocks,…
This proposed stock screen combines a measure of current buying activity with recent limit-up occurrences. Its stated conditions are a buying-share measure above five percent and more than two limit-up days within ten days; it also refers to a listing-age…
This stock-selection screen combines daily price movement and trading activity. It selects shares with an intraday high-to-low range of at least one percent and turnover between two and nine percent, while excluding stocks that closed at the upper price…
This document proposes an A-share stock screen for companies classified in the metaverse sector. It requires a circulating share count no greater than 5.5 billion and a current-day low below the prior day’s low. The stated rationale is to focus on a selected…
This document describes a Chinese equity screen for Shenzhen Main Board stocks. It selects stocks with a daily range above 1, price-to-earnings ratios from 0 to 29.01, price-to-book ratios from 0 to 3.11, and a quoted 9:25 gain below 6%. The rationale is to…
The document outlines a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, a reversal or engulfing-style condition, and codes beginning with 60. It describes this as a way to combine trading activity, a price-pattern signal,…
The document considers whether quantitative trading in China has a durable future as the field becomes more crowded. It argues that more participants using similar strategies can compress the limited excess returns available in an A-share market that is not…
This strategy ranks constituents of the CSI Dividend Index using a combined score based on dividend yield and return on equity (ROE). Dividend yield represents distributions relative to share price, while ROE is used as a measure of how effectively a company…
This Chinese A-share screening method combines a minimum price-amplitude condition, a positive MACD condition, and a capital-flow ranking. It proposes prioritizing stocks with stronger measured capital flow, treating amplitude as a volatility filter and MACD…
This Chinese equity screening proposal selects stocks using a turnover range, a positive but capped ten-day price gain, and a threshold for the day's increase in positions. The article interprets turnover as a measure of activity, recent return as a trend…