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 stock-selection post proposes ranking companies by capital-flow strength and market attention, while limiting the universe to firms with market capitalization below 10 billion yuan and no losses. Its final suggested logic adds a return threshold…
This Chinese-language post describes a stock screen that combines a daily price-range condition, weekly MACD above zero, and year-over-year net profit growth attributable to parent-company shareholders within a stated interval. It presents the combination as…
This report summary presents an investment case for Chinese technology equities and the China Securities Technology 50 Strategy Index. It argues that sharp market declines may offer opportunities to add exposure, based on a claimed review of 13 major…
This document outlines an A-share stock screen using a turnover range of 3% to 12%, market value below 10 billion yuan, positive return on equity, and exclusion of the STAR Market. It also mentions excluding stocks with an ST designation in its Python…
The document outlines a China-focused stock screen that combines trading activity, company earnings growth, and a technical condition. It selects stocks with turnover between 3% and 12%, parent-company net profit growth above 20% and no more than 100%, and a…
This A-share stock screen selects securities with daily amplitude above a threshold, a nonempty name for an outstanding convertible bond, and a price below the stated cutoff. It then ranks candidates by average turnover. The accompanying Python example adds…
This stock screen combines three filters: an RSI reading below 65, daily price amplitude above 1, and a market capitalization below 10 billion yuan. It also describes the candidates as companies without losses. The accompanying Python example uses historical…
This research summary examines whether intraday stock price behavior predicts future returns. It uses five-minute data and calculates volatility, skewness, and kurtosis from returns residualized with a Fama-French regression to reduce market and style…
This document presents a long-only strategy that compares the daily close with a price from roughly six months earlier. It enters when the close crosses above a level 44% higher than that reference price, then exits after about one year, described as…
This report evaluates an industry-allocation approach that favors high return on equity and low price-to-book ratios. It reports weak and unstable long-run results from tests using available ROE data, and says even an optimistic assumption about knowing the…
This report argues that convertible bonds should not be analyzed by applying an equity multi-factor framework uniformly. Because bonds differ in payoff structure, their relevant pricing factors may also differ; the authors describe examining and decomposing…
This Chinese-language document presents a screening rule for mainland Chinese A-shares. It selects stocks with a daily high-low range exceeding one percent of the high, a nonempty name for an outstanding convertible bond, and a stock code beginning with 60.…
This research summary describes stock-selection factors derived from tick-level trades. Trades are aggregated to minute intervals to estimate active buy and active sell amounts, which are used to form active-buy share and active-buy intensity measures. It…
The document describes a Chinese equity screening rule that combines turnover from 3% to 12%, an opening price near the 10-day moving average of closing prices, and a positive price-to-earnings ratio. “Near” is operationalized in the example as an opening…
The document proposes selecting listed Chinese main-board stocks that have turnover between 3% and 12%, belong to the robotics theme, and have circulating market value below 10 billion yuan. Within that group, it seeks stocks with evidence of institutional…
The document turns a past trading approach into a simple stock selection and exit rule. It selects the ten stocks with the highest dividend yields over the previous three years, buys them immediately, and sells one month after a dividend payment if the yield…
This algorithmic strategy combines a nine-signal Piotroski-style fundamental score with short-term return reversal. It ranks stocks using the most recently available quarterly statements, classifies firms as strong, middle, or weak on fundamentals, and pairs…
The article summarizes research on how trading volume interacts with equity mispricing. Using monthly US stock portfolios sorted jointly by a mispricing score and turnover, the study finds that volume and subsequent returns move in opposite directions…
This stock selection method combines a technical filter with earnings growth and valuation criteria. It selects Shenzhen main-board stocks whose RSI is below 65, whose parent-company net profit growth is above 20% and no more than 100%, whose…
This research summary discusses high-frequency equity factors built from combinations of price and volume data to capture trading behavior. It describes two examples: an illiquidity factor adjusted for price-path changes and a factor based on aggressive buy…
This Chinese-language market note combines long-horizon equity timing, medium-term market indicators, and a large-versus-small-cap rotation signal. Its long-term model uses a dividend-yield-based equity risk premium, evaluated quarterly, and reported a…
The article presents parameter-plane analysis as a way to visualize how combinations of strategy settings affect backtest results. Its example is a Chinese equities strategy combining valuation and float market capitalization ranks. It varies the number of…
This short submission translates an investor’s dividend approach into a broad selection and portfolio process. It favors established companies with relatively high dividend yields and stable performance, holds them over a longer horizon, and refreshes the…
This stock-screening concept targets Chinese A-share companies with positive earnings, market capitalization below the stated ceiling, a daily high-low range above the stated threshold, and a nonempty name for an outstanding convertible bond. The document…