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 research summary introduces price-impact bias, derived from five-minute stock order-flow and market data. It compares how similar proportions of aggressive buying and selling move prices. Stocks with stronger upward impact are described as easier to…
The post proposes a Chinese equity screen combining daily price movement, recent limit-up activity, and revenue growth. Its stated selection logic looks for amplitude above one, more than two limit-up days within ten days, and 2021 revenue greater than 1.1…
This document describes a Chinese stock-screening rule that combines a sector filter, a price condition, and reported earnings growth. It selects companies classified in the metaverse industry when the current open is around the ten-day moving average and…
This stock-selection idea combines daily amplitude above 1, a positive weekly MACD histogram, and return on equity above 15% for five consecutive years. It pairs a price-activity condition and a technical momentum signal with a measure of sustained…
This Chinese stock-screening post combines price activity, a positive weekly MACD reading, and a measure relating the prior day’s turnover to current auction volume relative to prior volume. Its final proposed screen adds valuation and growth filters: a…
The document describes an A-share stock screen combining three filters: membership in the metaverse theme, a closing price above the 250-day moving average, and specified upper bounds for price-to-earnings and price-to-book ratios. It also limits the…
This post describes a Chinese equity screening rule combining a capital-interest measure, positive price-to-earnings ratio, and a revenue comparison. Capital interest is represented by indicators such as turnover rate or volume ratio, with stocks ranked from…
This Chinese A-share screening proposal combines three conditions: an intraday range greater than one, return on equity above 15% in each of five consecutive years, and a stated daily maximum decline between 4% and 5%. The explanation interprets the range as…
This stock-selection proposal screens main-board shares for a robotics theme, turnover between 3% and 12%, circulating market value below 10 billion yuan, and positive net buying attributed to large participants during the opening auction. The page also…
This stock-selection rule screens for turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and no more than 100%, and a 9:25 price change below 6% in absolute value. The article combines a…
This research summary explains how turnover controls affect portfolio construction and factor evaluation. Portfolio weights change as risk estimates and expected returns change, while portfolio constraints and relative stock performance can impose a minimum…
This Chinese stock-screening post combines trading activity, recent price weakness, and historical revenue growth. It selects stocks with turnover between 3% and 12%, seven consecutive declining sessions, and 2021 revenue more than 10% above 2018 revenue.…
This Chinese equity screen selects stocks associated with the robotics concept, with turnover between 3% and 12%, circulating market value below 10 billion, and a stated scale threshold above 200 million. The post says the added scale filter is intended to…
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 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…
The article explains how liquid factor portfolios can approximate some hedge fund returns, potentially offering an accessible, lower cost substitute for investments with limited liquidity, high fees, or high entry barriers. It reviews linear multifactor…
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 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 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…
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…
This stock screen selects Shenzhen Main Board shares using a mix of recent price activity, trading liquidity, and valuation. It requires an amplitude above 1, prior-day turnover above 60 million, a price-to-earnings ratio between 0 and 29.01, and a…
This stock screen combines three filters: an amplitude threshold, a dividend payout ratio above 25% for 2019, and return on equity above 15% for five consecutive years. The accompanying discussion treats the payout ratio and sustained ROE as signs of…