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 post describes a Chinese equity factor inspired by a research report. Its volume component divides the trading session into five-minute intervals, measures each stock’s share of market volume, and uses Shannon entropy to characterize how that activity…
This stock screen combines three filters: five-period amplitude above one, a change in an institutional volume-difference measure, and positive earnings for companies below a stated market-value ceiling. It is intended to run after the daily open and to…
This Chinese-market stock screen combines a bounded RSI reading with a ratio of buyer-initiated to seller-initiated trading volume, then adds company and financial filters. The detailed formula also checks price and market conditions, excludes stocks marked…
The proposed Chinese equity screen selects stocks whose daily high-low range exceeds a threshold, whose closing price is above its five-day moving average, and whose price-to-earnings ratio is positive. The criteria combine recent price movement, short-term…
This report discusses how China’s changing investor mix may alter equity factor behavior, using earnings momentum as its example. It argues that institutionalization and international investment can support fundamental factors over the long term, while…
This article outlines a stock-selection screen that combines institutional trading activity with price trends. The initial conditions are a daily increase in reported holdings above a stated threshold, positive institutional direction, and a rising 30-day…
This research note proposes a price-spread deviation factor intended to measure whether a stock is relatively expensive or cheap compared with similar stocks. It frames the signal as a relative reversal measure: stocks that have recently lagged peers are…
This Chinese-equity screening proposal combines daily price range, profitability, and the previous session’s price-limit status. Its initial rule selects stocks with an intraday high-low range above one, return on equity above 15% for each of five years, and…
This document outlines a Chinese A-share stock screen that selects companies with an amplitude above 1 and a 2019 dividend ratio above 25%, while excluding Beijing-listed stocks. It presents the criteria as a way to combine a price-movement condition with a…
This note describes a two-stage ranking factor for equities. For each stock, it ranks the recent ten-day low-price observations through time, then ranks those values across stocks on the same date. The intended interpretation is that a larger final factor…
This research summary describes combining order-book data, which may reflect traders’ unexecuted intentions, with transaction-level data showing completed trades. The authors use both intuitive signal construction and machine learning to turn different types…
The document explains beta as an asset’s sensitivity to market returns and gives the covariance of asset and market returns divided by market-return variance as its calculation. It illustrates the calculation with a short set of monthly portfolio and…
This Chinese-language post describes an equity screen for Shenzhen Main Board stocks. It combines RSI below 65 with a tradable market capitalization of 5–10 billion yuan, price-to-earnings ratio between 0 and 29.01, and price-to-book ratio between 0 and…
This A-share screen combines daily amplitude above 1%, a candlestick pattern described as a morning star, and return on equity above 15% for five consecutive years. It aims to pair a technical reversal-style signal with a sustained profitability filter. The…
This A-share screen seeks companies with market capitalization below 10 billion yuan, positive P/E, no reported losses, and daily price amplitude above 1%. The article presents amplitude as a sign of trading activity, positive P/E and profitability as basic…
This post proposes an equity screen combining daily high-low range, five consecutive years of return on equity above 15%, and a rising KDJ K value. Its expanded version adds a market-capitalization band of 5–10 billion yuan and a price-to-book ceiling of…
This forum post raises questions about translating factor functions from BigQuant version 1.0 to version 3.0. It asks whether the RSI function retains its name or uses a prefixed variant, and whether ranking should use a cross-sectional or unprefixed…
This document describes a Chinese equity screening rule that combines turnover between 3% and 12%, at least one limit-up move in the prior 25 days, and return on equity above 15% for five consecutive years. It frames the conditions as a way to find actively…
This Chinese equity screen combines three conditions: daily price amplitude above 1%, a large order net-volume ranking threshold, and revenue in 2021 exceeding revenue in 2018 by more than a stated ratio of 1.1. The article describes the revenue comparison…
This stock-selection rule combines RSI below 65 with a circulating market value between 5 billion and 10 billion yuan and ROE above 15% for five consecutive years. It aims to pair a technical condition with company profitability and size filters. The post…
The document describes an equity screen combining three conditions: at least five overlapping moving averages, a positive price-to-earnings ratio, and 2021 revenue divided by 2018 revenue above 1.1. The moving-average overlap is presented as a sign of…
This document outlines a stock screen combining a positive MACD reading, upward-diverging moving averages, and a revenue ratio comparing 2021 with 2018 that must exceed 1.1. It also mentions using company fundamentals as supporting analysis. The accompanying…
This document proposes screening stocks using three conditions: a price range threshold, a current high that matches the highest of the current and previous sessions, and a historical dividend payout ratio threshold. It frames the dividend filter as a basic…
This summary of a Chinese brokerage factor-monitoring report compares recent performance across equity factors using several views: long-only excess returns, long-short returns, information ratios, and relative strength over roughly six months. Factors…