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-screening proposal selects companies associated with the metaverse theme, showing a custom arc-shaped price pattern, and with MACD below zero two sessions earlier. Its final stated rules add a price-to-book ratio no greater than 3. The…
This report examines how portfolio optimization settings affect a multi-factor equity strategy. It considers the interaction of active-weight limits with the lambda coefficient, the share of non-index constituents, industry and size exposures, turnover…
This Chinese-language research summary examines analyst consensus estimates as a source of information beyond company financial statements and trading data. It cautions that analyst forecasts tend to be optimistic and that A-share consensus estimates often…
This note outlines a basic toolkit for constructing low-frequency factors from price and trading data. For each selected input, it proposes calculating rolling means, sums, standard deviations, and skewness over several lookback windows, ranging from short…
This research summary describes adapting daily price-volume alpha research to intraday high-frequency data for stock selection. It examines relationships between price and volume, including ordinary and unusual activity, and reports constructing three…
This stock selection rule screens for shares with amplitude above 1, circulating market value above 10 billion yuan, and turnover between 2% and 9%. It combines a price-movement condition with company size and trading activity, aiming to select larger,…
The document describes a Chinese equity screen for metaverse companies that have recorded a limit-up day within the prior 25 trading days and maintained return on equity above 15% for five consecutive years. It presents ROE as a measure of sustained…
This stock-selection rule screens main-board shares for a daily high-to-low range of at least one price unit, return on equity above 15% in each of the prior five years, and a daily gain greater than 1%. It combines a price-movement condition with a…
This stock screen combines trading activity, a convertible-bond listing condition, and a short-term trend filter. It selects the top 100 stocks by trading volume over an unspecified period, requires the outstanding convertible bond name field to be…
This stock-selection example combines a technical condition with trading activity and a dividend-related fundamental filter. It selects shares with a 14-period RSI below 65, prior-day auction turnover above 0.26, and a 2019 dividend ratio above 25%. The…
This post proposes screening Chinese stocks in the metaverse industry for a MACD crossover and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. It presents the combination as a way to pair a…
This note describes a screen for Shenzhen main-board equities in the metaverse theme. It selects stocks whose prior-day actual turnover is between 3% and 28%, whose price-to-earnings ratio is between 0 and 29.01, and whose price-to-book ratio is between 0…
This report excerpt reviews Chinese equity market performance and factor behavior for the week summarized in an early 2020 research note. It says major indices and most sectors fell during the week, while quality factor effectiveness improved and analyst…
This Chinese stock-screening post describes ranking shares by relative volume and restricting the prior day’s actual turnover to a range above 3% and below 28%. It says to select the top 100 by the volume ratio and the top 100 by turnover, and frames these…
The post describes a China A-share stock screen for metaverse-related companies listed on the Shenzhen main board. Its stated filters combine a minimum circulating market capitalization with positive price-to-earnings and price-to-book ratios capped at…
This A-share screen combines a daily high-low range of at least one, return on equity above 15% in each of five consecutive years, and a proxy for recent large-investor control or buying pressure. The article presents the range condition as a way to identify…
This Chinese-language post presents a simple A-share stock screen combining membership in the metaverse theme, circulating market capitalization above a stated threshold, and a recent closing price exactly equal to a specified value. It sketches…
This short exchange explains how to interpret a long-short portfolio return in factor analysis and how to select a chosen group from a factor-ranked universe. It describes the long-short spread as the return from buying the lowest-ranked group and selling…
The post outlines a proposed equity workflow that links market breadth, sector selection, stock screening, and portfolio exposure. It would compare broad-market indices with industry or concept indices using beta, select sectors with higher beta, then choose…
This brokerage report reviews Chinese equity style behavior during the week of April 13–17, 2020, then outlines a style outlook using macroeconomic conditions, historical calendar patterns, cross-sectional dispersion, fund flows, valuations, and macro event…
This proposed stock screen combines MACD above its zero line, year-over-year net profit growth above 20% and at most 100%, and revenue in 2021 more than 1.1 times its 2018 level. The discussion interprets these conditions as a mix of price trend, recent…
This article describes an equity selection approach centered on smaller profitable companies listed on the Shenzhen main board. Its stated filters combine stronger money-flow readings with moderate price-to-earnings and price-to-book ratios, a market…
The document describes an equity screen that combines turnover between 3% and 12%, a reversal-style price pattern, and return on equity above 15% for five consecutive years. Its example formula also requires the KDJ indicator’s K value to exceed its D value,…
The article describes a Chinese equity screening rule for Shenzhen Main Board stocks. It selects companies with turnover between 3% and 12%, a 2021 listing year, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The rationale…