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.
4,194 documents
This Chinese equity research report builds a stock-selection factor from how each stock’s trading value co-moves with the rest of the market under two conditions. When a stock is relatively high in its recent intraday range, stronger co-movement is…
This stock-selection screen combines trading activity, company size, market value, and profitability. Its final criteria require turnover of up to 12%, circulating market value between 10 and 100 billion yuan, circulating share count no greater than 5.5…
This meetup Q&A discusses several practical questions in quantitative research. It explains that traders can label chart patterns for AI training in principle, but visual labels may vary with chart scale and between annotators. A model can only learn useful…
The document describes an A-share stock screen for companies associated with robotics. Its stated filters include turnover between 3% and 12%, total market value below 10 billion yuan, positive net income, and circulating market value below 10 billion yuan.…
This document outlines an equity screen beginning with stocks whose daily price range exceeds 1%, market capitalization is at most 10 billion yuan, and average net profit is positive, while excluding stocks that hit the daily limit on the prior session. Its…
The post presents a Chinese-stock screening idea that combines a price-amplitude threshold with a range for yesterday’s turnover multiplied by today’s auction volume relative to yesterday’s volume. It also requires circulating market capitalization above a…
This post outlines a China A-share screening rule for stocks classified in the metaverse sector. It first describes selecting names with prior-day turnover above a threshold and positive institutional activity, then gives a final rule using prior-day…
This weekly market review summarizes Chinese economic and financial developments for August 8–12, 2022. Its macro section reports trade growth and foreign-exchange reserve changes, alongside selected global policy and company news. The market section…
This research summary proposes measuring whether trading in a stock is unusually one-sided. It classifies five-minute candles by their bodies as consensus or non-consensus activity, then measures consensus volume as a share of daily volume. Splitting that…
This article proposes screening Chinese equities for market value below 10 billion yuan, a volatility condition, and positive profitability over recent years. It describes combining a price range measure with a subjective assessment of company quality and…
This research summary surveys dynamic allocation methods for equity style factors. It organizes the approaches by whether they use return information, risk information, or both, adapting methods originally used in broad asset allocation. The study first…
This report compares several Chinese language models as assistants for discovering equity liquidity factors over a specified historical period. Each model proposes data inputs and a formula built from trading volume, turnover, amount, or price. The author…
This document summarizes a Chinese research report on measuring listed companies’ technological innovation capacity. It identifies factor construction and testing by industry as a central topic, alongside building an enhanced portfolio for a strategic…
This study proposes a stock-selection factor derived from intraday volume patterns. It defines a daily volume “tide” by smoothing minute-level volume with a nine-minute neighborhood, locating its peak, and identifying low-volume points before and after that…
This report examines industry exposures in an existing multi-factor stock-selection portfolio, tests how the model performs across sectors, and constructs industry-neutral long and short portfolios. It identifies sectors where the model appeared unsuitable…
The document outlines an A-share stock selection rule that starts with companies reporting no losses, market capitalization below 10 billion yuan, and turnover between 3% and 12%. It then selects firms whose 2019 dividend ratio exceeds 25%, presenting…
This Chinese equity screen combines daily price amplitude above 1%, circulating market value above 10 billion yuan, and a ratio of 2021 revenue to 2018 revenue above 1.1. The conditions aim to select stocks with noticeable price movement, larger market…
This Chinese-language post describes a stock selection screen using three conditions: turnover between 3% and 12%, appearance on the market’s trading leaderboard the previous day, and circulating share count no greater than 5.5 billion. It frames the…
This document describes a Chinese equity screening rule that selects stocks when daily high-low amplitude exceeds 1%, the KDJ indicator has just formed a golden cross, and return on equity has exceeded 15% in each of the past five years. It includes…
These reading notes summarize an active, company-focused approach to equity investing. They organize stock selection around business quality, valuation, and timing, emphasizing industry structure and durable company advantages over tracking short-term…
This proposed equity screen combines amplitude above one, at least one daily gain of 10% or more within the prior 25 trading days, and return on equity above 15% for five consecutive years. The article presents these as a blend of volatility, recent price…
This article develops an A-share stock-selection framework around earnings surprises and post-earnings-announcement drift. It groups surprise signals by whether new information comes from analyst revisions, reported fundamentals versus analyst expectations,…
This Chinese-language post proposes a stock-selection screen for Shenzhen main-board shares. It combines prior-session price amplitude above 1%, circulating shares no greater than 5.5 billion, positive price-to-earnings below 29.01, and positive…
The study summary describes estimating bond fund asset exposures from externally available data when reported holdings are delayed, infrequent, and incomplete. Its central method is regression: fund returns are related to price-weighted asset returns, using…