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 Pearson approach forms equity pairs by ranking stocks on the correlation of their monthly returns during a formation period. For each stock, it selects the most highly correlated peers and combines their returns into a benchmark portfolio, using either…
This Chinese-language post outlines an equity screening idea that combines a small market-cap ceiling, a history without losses, a weekly five-period moving average crossing above a ten-period average, and a daily increase in position holdings above a stated…
This document explains why cash dividends matter when pricing Chinese equity index futures and estimating hedge costs. Because the contracts track price indices, expected constituent dividends affect fair value and the apparent futures basis. The proposed…
This study groups 50 Wind order-flow indicators into eight categories, then tests whether they help rank A-share stocks. Its framework combines industry-neutral portfolio sorts, cross-sectional regressions, and information coefficient analysis. The tests use…
This Chinese stock-screening note combines price range, turnover, auction volume relative to prior trading volume, and Bollinger Bands. Its stated logic seeks stocks with amplitude above 1, a turnover-and-volume ratio between 0.5 and 2, and a closing price…
This Chinese stock-screening note proposes selecting shares associated with the robotics concept, with turnover between 3% and 12%, free-float market capitalization below 10 billion yuan, and circulating shares no greater than 5.5 billion. It adds a…
This Chinese-language post describes an A-share stock screen focused on the metaverse industry. It selects stocks with a volume ratio between 1.5 and 6 and ranks candidates by capital-flow strength. The post explains volume ratio as a measure of trading…
This note describes a Chinese equity screen using three characteristics: turnover between 3% and 12%, an IPO year of 2021, and a specified daily maximum decline between 4% and 5%. It presents the rules as a way to identify stocks based on trading activity,…
This note proposes screening Chinese stocks for a recent positive but bounded price gain, alongside a narrow price band around 18.5 yuan. It also refers to a requirement that at least five moving averages converge, presenting that condition as a way to find…
This note describes a Chinese A-share stock screen that selects shares with turnover between 3% and 12%, excludes Beijing-listed stocks, and requires at least one limit-up event in the past month. The proposed rationale is that a recent limit-up may signal…
This post proposes selecting stocks with MACD above zero, upward-moving averages, and rising large-order net volume, then sorting candidates by that flow measure. It describes MACD as a trend filter, moving averages as a directional signal, and large-order…
This post describes a daily, after-close stock screen that requires MACD to be above zero and ranks eligible stocks by a popularity measure. Its final logic also calls for market capitalization above a stated threshold and excludes suspended stocks. The post…
The post proposes a Chinese equity screen that ranks stocks by market capital inflow, then selects companies below a stated market-cap ceiling that are not loss-making and have higher revenue in 2021 than in 2018. The written selection logic specifies…
This overview surveys private fund investment approaches, outlining how managers combine asset selection, portfolio construction, and risk management. It covers equity long-only, long-short, and market-neutral strategies; managed futures trend and arbitrage…
This post describes a Chinese equity screening rule that selects stocks in the metaverse sector when the prior day's price is above the 250-day moving average and daily MACD is positive. It frames sector membership as exposure to a popular theme and the…
The document proposes an equity screen combining metaverse industry membership, a rounded price pattern, and an opening price near the 10-day moving average. It frames this combination as a way to identify lower-priced stocks with potentially favorable entry…
The document summarizes research on weighting equity alpha factors through factor-mimicking portfolios (FMPs). It presents FMPs as an alternative representation of alpha signals under a stock covariance model, with linear combinations of factors…
The research note explains how alpha factors can be represented through factor-mimicking portfolios (FMPs) under a stock covariance model. It describes translating linear combinations of alpha factors into corresponding combinations of FMPs, then choosing…
This note proposes screening Chinese A-shares for a turnover rate between 3% and 12%, excluding Beijing-listed shares, then selecting the five stocks with the largest amount traded in the day’s auction. Its rationale is that high auction activity may…
The note describes a Chinese A-share selection idea that combines price amplitude above one, three technical indicators crossing upward, and a connection to the metaverse. It presents the added metaverse condition as a way to target a popular emerging theme,…
This Chinese A-share screen targets stocks in the metaverse theme with circulating share capital at or below 5.5 billion shares and a price gain below six percent at 9:25. The article presents the criteria as a way to focus on companies with a moderate float…
This Chinese A-share screening idea looks for stocks with an intraday range greater than one percent, at least one limit-up event during the prior 25 days, and high current auction amount, selecting the top five by that measure. The article frames range as a…
This Chinese stock screen selects companies associated with the metaverse theme whose previous-day price is above the 250-day moving average and whose closing prices have declined for seven consecutive sessions. The stated rationale is to combine a themed…
The document proposes screening stocks using three conditions: daily amplitude above 1%, RSI below 65, and a 2019 dividend payout ratio above 25%. It combines a price-range measure and a momentum oscillator with a historical fundamental filter. The ratio is…