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 report compares groups of Chinese equity factors across industries, focusing on cash flow, valuation, size, momentum, liquidity, volatility, beta, and alpha. Its stated findings come from portfolio net value behavior, industry-level results, ranking…
This BigQuant forum post discusses how to define a factor for stocks closing above their historical maximum high. The example query groups earlier price records by instrument and name to calculate a prior high, then compares a later close with that value.…
This document describes a Chinese stock screening rule combining daily price amplitude, a calendar-year condition, and a maximum number of circulating shares. It explains that the amplitude filter is intended to find more volatile stocks and that a smaller…
The document presents a short-term stock screen combining price amplitude, a rising moving-average condition, and a return measure multiplied by relative trading volume. It interprets larger amplitude as evidence of active price movement, rising averages as…
This study describes a grouped-factor approach to combining quality, growth, and value signals for A-share stock selection. A quality composite based on enterprise value and return on equity ranks stocks and defines a filtered universe for further selection.…
This Chinese-language post outlines an equity screen for companies classified in the metaverse theme. It selects stocks whose actual turnover rate from two sessions earlier falls between 3% and 28%, and whose current control-related measure exceeds 21. The…
This report summary describes a stock-duration factor inspired by bond duration and constructed using company financial data and analyst consensus estimates. It reports that the factor’s cross-sectional behavior varies with market conditions and across…
The document describes a stock screen combining daily price range, exchange code, and circulating market value. It selects stocks whose codes begin with 60, whose high-to-low range exceeds 1% of the opening price, and whose circulating market value meets a…
The post raises a data-timing concern when using iWencai in quantitative research. Its author says that get_iwencai() does not introduce future data, while some uses of query_iwencai() may do so. The practical takeaway is to check whether a query relies only…
This A-share screening proposal combines three conditions: market capitalization below 10 billion yuan, no reported losses, prior-day actual turnover between 3 and 28, and today’s position-addition share above 5%. The article interprets these as filters for…
This A-share stock screen combines three technical conditions: RSI below 65, seven consecutive sessions in which the close is below the open, and a daily price range greater than 1. The note interprets the RSI threshold as avoiding an overbought reading, the…
The note explains the low-lag trend line (LLT) as a timing indicator derived from signal processing. It frames moving averages as low-pass filters: they smooth short-term price fluctuations while retaining slower trend movement. LLT applies a second-order…
This research summary asks whether financial data vendors act as information intermediaries in equity markets. It focuses on FirstCall, a Thomson Reuters service, and whether the timing of its distribution of earnings information affects how investors…
This Chinese equity screen combines three signals: daily trading range relative to closing price, a weekly five-period moving average above the ten-period average, and at least one large daily gain in the recent 25 trading days. The article presents the…
This stock screen targets Chinese A-share companies in the metaverse industry whose current average price is above the five-day moving average. It also excludes stocks listed in Beijing. The article gives equivalent screening concepts for a market formula…
This proposed Chinese equity screen selects stocks with turnover between 3% and 12%, at least one limit-up event during the preceding 25 days, and a previous close above its 250-day moving average. It combines a liquidity or activity range with a recent…
This 2020 research summary argues that the Shenzhen 100 could suit long-term allocation, describing it as a liquid large- and mid-cap index with both growth and blue-chip characteristics. It cites fundamentals reported at the time, including return on equity…
This Chinese-language post proposes screening mainland Chinese stocks using an RSI below 65, a daily gain above 1%, and a main-board listing. It adds a liquidity condition: yesterday’s turnover rate multiplied by today’s opening-auction volume divided by…
This Chinese-language knowledge post explains a mismatch in a sample trailing-stop calculation. The code obtains a holding duration by subtracting the position’s last sale date from the current date, which yields calendar days. It then passes that duration…
This Chinese-language post presents a short-term stock screen using turnover, daily price change, auction return, trading volume, circulating market value, and large-order net flow. The main description calls for turnover between 3% and 12%, a negative…
This Chinese-language post describes a stock-selection screen for companies classified in the metaverse sector. It selects shares with prior-day turnover above 8% and prior-day auction turnover above 0.26, using these thresholds as proxies for market…
The document describes a Chinese equities screening idea focused on stocks in the metaverse industry. It combines a price trend condition, expressed through a five-day moving average, with a condition that today’s increase in volume relative to share capital…
This stock-selection example combines a daily range filter, a morning-star-style candlestick condition, and a trend filter requiring the 20-day moving average to be above the 120-day moving average. Its accompanying indicator formula also includes a…
This Chinese A-share screening proposal starts with stocks in the robot concept whose circulating market capitalization is below 10 billion yuan and whose daily high-low range exceeds 1%. Its initial momentum condition is that at least one session in the…