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 post outlines a stock screen that combines a daily price-range threshold with a rising DEA signal, while applying geographic exclusions. It then suggests expanding the screen with valuation measures such as price-to-earnings and price-to-book ratios,…
This article contrasts retail investors' execution environment with that of quantitative firms. It describes exchange co-location and direct connectivity as ways to reduce signal and order latency, then discusses how automated systems may react quickly to…
This post describes a historical A-share stock screen using an RSI reading below 65, a price range greater than 1%, and a 2021 date filter. It presents RSI as a gauge of price strength and overbought or oversold conditions, while the range criterion is…
The article discusses two reported measures intended to reduce speed advantages for quantitative firms in China’s A-share market: removing servers located inside exchange facilities and adding latency equivalent to a stated 200-kilometer separation. It…
This stock-selection example screens Shenzhen main-board shares associated with the metaverse theme. Its stated criteria require price above the five-day moving average, positive price-to-earnings and price-to-book ratios, and upper bounds of 29.01 and 3.11…
This 2022 overview describes Hong Kong as a base for international and Chinese quantitative asset managers and as a channel for overseas investors seeking exposure to mainland China. It cites hiring and regional-office examples involving Citadel and Two…
The report describes stock-return prediction with machine-learning models built for short, medium, and long forecast horizons. It groups selection factors according to their information coefficients at different horizons, reflecting the idea that factor…
This stock screen combines three conditions: membership in the metaverse industry, a 2021 listing year, and an opening price near the ten-day moving average of closing prices. The accompanying example describes both a crossover-style technical condition and…
This report outlines a first step in building a multifactor model: choosing which factors to combine. It proposes screening combinations using three criteria: how strongly a factor differs from benchmark exposure, how correlated the factors are with each…
This Chinese equity screen first limits candidates to the metaverse theme, then requires the opening price at 9:25 to be less than six percent above the previous close. It also looks for the weekly five-period moving average to cross above the ten-period…
This note describes a short-term screen for Chinese equities using three conditions: daily high-low amplitude above one percent, a closing price below 20, and a prior-day close that was not near the stated upper limit threshold. It presents the rules as a…
This research summary outlines three refinements to genetic programming for finding stock-selection factors: fitness measures based on mutual information and long-only excess return, ways to transform nonlinear factors, and validation procedures intended to…
This stock-selection rule combines an amplitude threshold, a weekly moving-average crossover condition, and membership in the beverage and alcohol import-export industry. The article presents the amplitude filter as a way to constrain price movement, the…
This stock screen combines three conditions: membership in the metaverse theme, a positive institutional-flow measure, and MACD above zero. The document frames theme membership as a way to focus on a popular sector, institutional activity as a directional…
Internal Strength is an oscillator intended to show where the close sits within the day’s high-low range. In its HLC mode, it calculates the close’s position as a fraction of the range, using the high, low, and close. In its RSI mode, it applies RSI to that…
This Chinese A-share screening example combines three conditions: a 14-period RSI below 65, market capitalization of at least 200 million, and a 10-day price gain above zero but below 35%. It describes the screen in plain language and provides sample formula…
The article proposes screening Chinese stocks using three conditions: daily amplitude above 1%, at least two limit-up events within a 500-day lookback, and prior-day auction turnover above 0.26. It supplies indicator expressions and a Python-style example…
The article examines China’s A-share T+1 rule, which generally prevents investors from selling shares on the same day they buy them. It presents four arguments in the debate: the rule may curb impulsive retail trading, constrain some forms of repeated…
This Chinese stock screen combines three conditions: amplitude above 1, a shortening negative MACD histogram on a 15-minute interval, and exclusion of companies classified as science and technology innovation listings. The MACD condition is intended to find…
The document describes a Chinese stock selection rule combining price amplitude above 1, tradable shares no greater than 5.5 billion, and exclusion of stocks that hit the daily upper price limit on the previous day. Its rationale is to seek stocks with…
This community post describes a China A-share stock screen that combines recent price behavior with valuation and listing filters. The stated criteria include Shenzhen main-board stocks with positive price-to-earnings and price-to-book ratios below specified…
This report studies the accuracy of analysts’ consensus earnings-per-share forecasts for China A-shares and develops forecast-bias signals for stock selection. Its full-sample statistics indicate substantial errors and an overall optimistic bias. An…
This study evaluates 19 factors derived from sell-side analyst consensus data, including forecasts of financial measures, analyst ratings, and attention. It tests the factors in several Chinese equity universes and across industries. For financial forecast…
This stock screen combines three technical conditions: daily high-low amplitude above a threshold, MACD above the zero line, and a rising, ordered set of short- to longer-term moving averages. The intended interpretation is that price movement indicates…