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.
12,303 documents
This note describes a stock screen using three stated conditions: amplitude above 1, price below 12, and a dividend ratio above 25% for 2019. It interprets the amplitude threshold as a sign of trading activity, the price filter as a way to find inexpensive…
This note describes a short-term equity screen that ranks stocks by relative trading activity and combines that ranking with technical signals. It proposes selecting the top 100 by volume ratio, then looking for a joint bullish setup involving the Bollinger…
This note presents a Shenzhen main-board stock screen that combines valuation, price range, and intraday momentum conditions. It selects stocks with price-to-earnings ratios from zero to 29.01 and price-to-book ratios from zero to 3.11, then looks for a…
This note proposes a Chinese equity screen for companies with market capitalization at or below 10 billion, no losses, daily price range above 1%, and turnover between 2% and 9%. The stated rationale combines stock activity and volatility with a size…
This note outlines a Chinese equity screen combining a daily price range above 1%, a qualitative preference for sound companies, and a gain below 6% at 9:25 a.m. It also suggests considering profitability, growth, return on equity, market capitalization,…
The Aggressiveness indicator measures an instrument’s average movement in points per candlestick over a configurable number of recent periods. It counts movement regardless of direction, so it describes typical candle movement rather than whether price is…
This Chinese equity screening proposal combines a daily amplitude threshold with at least five overlapping moving averages. The accompanying discussion interprets closely grouped averages as a sign of relatively stable recent prices, while the range…
The document explains a QQE oscillator that smooths RSI and surrounds it with fast and slow adaptive trailing bands. It describes three selectable RSI inputs: Wilder’s RSI, Jurik RSX, and Rapid RSI. The band widths derive from a twice-smoothed measure of…
This A-share screening idea selects stocks with turnover between 3% and 12%, a rising KDJ K value, and a price range greater than one percent. The author interprets an increase in K as improving short-term price momentum and uses the range threshold to focus…
This stock screen selects shares using three filters: price amplitude above one percent, exclusion of Beijing-listed stocks, and a ratio of external to internal trading volume above 1.3. The article presents the ratio as a way to identify stronger buying…
This A-share selection method combines a price-range filter with positive daily MACD and a rising 30-day moving average. It proposes screening before each trading day and trading selected stocks at the next day’s open. A ranking by trading value and a…
The Chartmill Value Indicator (CVI) measures how far a price series has moved from a moving average, scaling that distance by average true range. The document explains the intuition: during a trend, price can pull away from its average; when price…
The document explains how comparing implied volatility (IV) surfaces across dates can reveal patterns that a single snapshot misses. It describes tracking Mark IV and Forward IV across maturities with term-structure time-lapse views, and comparing…
This document describes a Chinese equity screen that selects stocks with daily price amplitude above one percent, excludes Beijing-listed shares, and requires a nonempty name for an outstanding convertible bond. It gives formula and Python examples, but the…
This brief description introduces a trading indicator based on the generalized autoregressive conditional heteroskedasticity (GARCH) model. It presents the indicator as a way to track changing volatility: readings rise when volatility is high, and changes in…
This study examines the low-volatility effect in Chinese A-shares using price amplitude as a volatility proxy. The original amplitude factor has negative stock-selection ability, but its performance is unstable: the reported monthly IC and rank IC are…
This stock screen selects Chinese equities whose daily high-low range exceeds one percent, whose price is below 12 yuan, and that have recorded at least one limit-up event during the prior 25 trading days. The article presents the conditions as a way to find…
The Trend Equilibrium indicator is presented as a momentum and volatility measure with adjustable lookback periods and a scaling factor. The document recommends a momentum period of 14 candles and notes that increasing this period smooths the curve while…
This stock screen combines three conditions: price amplitude above a threshold, a KDJ reading below 20, and an IPO year of 2021. The accompanying explanation frames high amplitude as a way to find volatile stocks and low KDJ as a technical filter. It also…
The indicator combines an adaptive One More Average (OMA) smoothing formula with a step function. Its adaptive period estimates the balance between directional movement and accumulated price noise, then adjusts the averaging period within bounds based on a…
This brief research submission describes an experiment on stocks priced between zero and two yuan, using three five-day factors: momentum, reversal, and volatility. The author says the backtest results were weak and asks for ideas to improve the analysis.…
This stock-selection approach combines four filters: daily amplitude above 1, a listing age greater than one year, market capitalization below 10 billion yuan, and positive net income in each of the most recent four quarters. The accompanying sample workflow…
This document explains how changing the moving average used in the Directional Movement System alters the smoothing of its components. It contrasts Wilder’s recursive average, described as a calculation-efficient approach developed for hand computation, with…
This Chinese equities screen combines daily amplitude above 1 with relative volume between 1.5 and 6, a measure involving the prior day’s turnover and the current opening auction volume relative to the previous day’s volume, and an opening price below the…