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.
12,140 documents
This stock-selection approach combines three filters: daily amplitude above 1%, a proxy for afternoon large-order net inflow, and a condition described as at least five moving averages aligning. The accompanying indicator expressions and Python example show…
This review of factor performance during the 2018–2020 quant crisis examines why diversified equity strategies struggled. It analyzes standard size, value, investment, profitability, and momentum factors, alongside portfolios formed by sorting stocks on size…
This post describes a stock screen that combines at least five overlapping moving averages, a share price below a stated ceiling, and revenue growth between two fiscal years. The intended rationale is to find stocks with clustered trend measures and a…
This Chinese-language post proposes an equity screen using three conditions: amplitude above a threshold, rising price lows, and positive returns. The rationale is to exclude stocks with little movement, identify a potential base with progressively higher…
This Chinese-language post outlines a proposed screen for mainland Chinese exchange-listed stocks in the metaverse industry. It selects names among the five highest by the day’s auction trading value, then requires the weekly five-period moving average to…
The document introduces the information in a candlestick: the open and close define its body, while the high and low define its wicks. It classifies candles as bullish, bearish, or neutral by comparing closing and opening prices. These descriptions apply to…
The post describes a stock-selection screen based on turnover between three and twelve percent, appearance on a market trading list the previous day, and a negative MACD reading from two days earlier. The accompanying formula adds further filters involving…
This report excerpt reviews several Chinese equity strategies for the week ending around July 19, 2020. It says valuation and quality factors performed relatively well while momentum weakened. The CSI 300 and CSI 500 enhanced portfolios both declined for the…
This indicator presents the standard stochastic oscillator's %K and %D lines together with a histogram showing their relationship. Histogram colors distinguish whether %K is above or below %D and whether it lies above or below the configured overbought and…
This post outlines a Chinese equity screening approach combining three signals: high relative trading volume, rising short- and medium-term moving averages, and at least two limit-up sessions during the prior 500 days. It describes ranking by volume ratio,…
This Chinese-language post describes an equity screen requiring a daily price range above 1%, a positive 10-day return below 35%, and positive reported returns. It frames the range threshold as a way to select for active price movement, while the bounded…
Smart Trend Score is described as a MetaTrader 5 indicator that combines weighted moving averages, trend direction, market structure, ADX, ATR, and price action into a score. After a candle closes, it displays a buy, sell, or no-signal status, a confidence…
This study examines how stock volatility relates to reversal and other factor returns in China’s A-share market, controlling for market capitalization and industry effects. It reports that stocks with weaker past returns tended to outperform later across…
This stock-screening proposal selects shares using three conditions: price amplitude above a threshold, multiple moving-average crossovers occurring together, and a minimum float market capitalization. The rationale is to combine recent price movement, a…
The article reviews research linking firms’ incentives to manage investor expectations with earnings announcement premiums and seasonal stock returns. It builds an ex ante expectation management incentive score from analyst coverage and institutional…
The volume oscillator compares short and long exponential moving averages of trading volume. It expresses their difference as a percentage of the long-period average, with positive readings indicating that recent volume is above its longer-term baseline and…
This description presents a MetaTrader expert advisor that generates trading signals by comparing the close price of the current bar with the close on a configurable comparison bar. Signals are checked when a new bar appears, while trailing-stop management…
This document describes a MACD variation that uses a nonlag moving average in place of the conventional exponential moving average for the MACD calculation. It also applies the nonlag average to the signal line, presenting the indicator as a faster-reacting…
This stock selection approach looks for shares with MACD above zero and short-term moving averages spreading upward, while excluding stocks from China’s STAR Market. It presents the screen as a way to identify stocks with positive trend signals and avoid a…
This algorithm implements a monthly cross-sectional momentum strategy in US equities. It ranks eligible stocks by their trailing 12-month return, with the most recent month skipped to reduce microstructure and liquidity biases. The highest-ranked group is…
This note outlines a Chinese stock screen focused on the metaverse theme, smaller share float, positive price change, and a “main uptrend start” signal. Its final stated rules add a market-value ceiling of 10 billion yuan and cap circulating shares at 5.5…
This note proposes selecting non-ST stocks with turnover between 3% and 12%, a rising DEA signal, and a limit-up move before 10:00. It describes this as a short-term limit-up approach, using the early timing of the price move alongside a trend filter and…
This note presents a stock screen for shares with daily amplitude above 1%, an opening price near the 10-day moving average, current volume above 10,000 lots, and a high open. The example formulas define “near” as within 5% of the average and identify a high…
This note describes a short-term stock screen combining turnover rate, recent price performance, and a newly formed KDJ golden cross. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and a fresh bullish KDJ crossover. The…