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 document describes a Chinese equity screening rule that combines price movement, trend, momentum, and trading activity. Its final version selects stocks with amplitude above 1, MACD above zero, RSI(14) above 50, and prior-day auction turnover above…
The document presents a stock screen for securities whose codes begin with the specified Shanghai prefix, whose daily trading range exceeds a threshold, and whose moving averages are described as diverging upward. It includes a technical formula and a Python…
The document describes a Chinese equity selection rule combining turnover, the ratio of market buy volume to market sell volume, and institutional net buying. It filters for turnover between the stated bounds, a buy-to-sell volume ratio above the specified…
The document explains how a backtest engine turns an investment strategy into simulated trades. It distinguishes strategy logic, such as selecting securities and generating signals, from trade logic, such as deciding position size, rebalance timing, order…
The document proposes a stock screen that combines price amplitude above one, a rising sequence of recent lows, and a positive price-to-earnings ratio. It presents these as technical and fundamental filters intended to identify shares with substantial…
This document introduces the cyclically adjusted price-to-earnings ratio, or CAPE, as a way to compare equity prices with a decade of inflation-adjusted earnings. It summarizes historical analyses of the S&P 500 and Shanghai Composite, reporting that higher…
This short programming example shows how to screen daily stock data with several conditions at once, then select only the desired columns. The example combines a date cutoff, a minimum trading amount, and a maximum closing price using boolean masks joined…
The document explains the cyclically adjusted price-to-earnings ratio (CAPE), calculated as an inflation-adjusted share price divided by the average inflation-adjusted earnings per share over the prior decade. It compares CAPE with future real returns for…
This stock-selection rule screens companies associated with the metaverse theme, requiring a volume ratio above 1.5 and below 6, alongside circulating market value above 10 billion yuan. The rationale is to combine a thematic industry filter with relatively…
This page summarizes two research topics from an overseas literature review. The first concerns systematic value investing: it describes examining common claims about the value effect, considering how diversified value strategies might be implemented more…
This post describes an equity screen that combines membership in the metaverse concept group with two price conditions: the close must exceed the previous session’s low, and the open must fall within ten percent above or below the ten-day simple moving…
This post describes a China A-share screening idea focused on stocks in the metaverse sector. It adds two filters: a morning price-change condition below six percent and a measure intended to indicate that large participants controlled trading on the prior…
This Chinese-language post outlines a stock screen combining three conditions: price amplitude above one, prior-day turnover above 60 million, and MACD above its zero line. It frames amplitude as a measure of price movement, turnover as a gauge of activity,…
The article describes a stock screen that excludes Beijing-listed shares, selects stocks with a daily high-low range above one percent, and applies a filter based on the prior day's turnover and the ratio of current opening-auction volume to the previous…
This stock selection rule screens companies in the metaverse theme for a closing price above the five-day moving average, trading volume above the stated threshold, and an opening price above the previous close. The article presents these conditions as a way…
This article proposes screening stocks with turnover between three and twelve percent, displayed best-bid volume greater than best-ask volume, and a prior-day condition described as a 9:15 matched price at the daily limit-down. The first two filters are…
This article describes a stock-selection screen based on three conditions: a daily high-low range above a stated threshold, an opening price near the ten-day moving average, and at least five years since listing. The intended interpretation is that elevated…
This article outlines a Chinese equity screen for stocks in the metaverse sector. It combines bullish technical signals, including MACD and short moving-average crossovers, with a filter intended to exclude stocks that hit the daily price limit on the…
The proposed stock screen filters for amplitude above 1 and a closing price below 20, then ranks candidates by today's auction amount and selects the top five. The article also gives example indicator and Python logic, including a comparison of current and…
This stock screen combines three technical conditions: daily amplitude above 1, MACD above its zero line, and closing price above the five-day moving average. The document explains these as filters for price movement and recent upward direction, then gives…
The document presents a Chinese equity screen that requires a 14-period RSI below 65, a circulating market value between 5 billion and 10 billion yuan, and exclusion of Beijing-listed A shares. The example code applies these filters and, when enough…
The document describes a Chinese equity selection rule combining a daily range filter, afternoon large-order net inflow, and a score based on price change multiplied by a large-order volume measure. It ranks candidates by the resulting score and selects the…
The stated screen looks for stocks with turnover between 3% and 12%, a listing year of 2021, and ownership concentration below 20%. The article treats lower concentration as a sign of more dispersed ownership and suggests that the turnover band may help…
The screen selects stocks with turnover between 3% and 12%, beginning with the Chinese stock-code prefix 60, and keeps companies whose 2021 revenue exceeded their 2018 revenue by more than 10%. The article describes this as a way to combine trading activity…