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 stock selection approach combines a price range condition, a turnover and volume activity measure, and year-over-year net profit growth. It screens for stocks with amplitude above one, a product of the prior day's turnover rate and the current auction…
The document describes a Chinese stock selection rule that seeks shares with turnover between 3% and 12%, listed in 2021, and associated with the metaverse theme. It presents this as a way to narrow the universe to newer listings in a targeted sector. The…
This report surveys equity factors associated with trading frictions and outlines how academic anomaly research differs from investment-oriented factor research. Academic studies seek a suitable pricing model and portfolios whose returns the model does not…
This screening proposal combines a daily price-range condition, consistently high return on equity over five years, and an opening price near short-term moving averages. The suggested refinement places the open between the prior ten-day and twenty-day…
This note describes a Chinese equity screen combining daily price range, large-order net buying, and year-over-year net profit growth attributable to shareholders of the parent. Its stated final rule requires amplitude above 1, a high large-order net volume…
This study explains combinatorially symmetric cross-validation (CSCV) as a way to estimate the probability that a strategy selected as best in a backtest will rank poorly across alternative partitions of that history. The backtest period is divided into…
This study examines a database of 486 patent-derived factors for Chinese listed companies and tests their usefulness in stock selection. It organizes patent information by type, procedural status, metric, and lookback period. Measures include patent counts,…
The post describes a China-focused stock screen combining reported institutional buying, a recent increase in buying activity above five percent, market capitalization below 10 billion yuan, and a history without losses. It then presents a more restrictive…
This proposed stock-selection rule combines a 14-period RSI below a stated ceiling, greater volume on the best bid than on the best ask, and a positive price-to-earnings ratio. The post presents the combination as a way to consider price conditions,…
This research note examines whether Chinese A-share ownership data can help select stocks. It groups the data into shareholder counts, holdings by the ten largest shareholders, institutional ownership, and major shareholder transactions. Most of these series…
The article defines an earnings surprise factor, ESP, as the difference between actual and expected quarterly net profit divided by the absolute expected amount. It describes deriving quarterly analyst expectations from annual forecasts under an assumption…
This A-share selection rule combines a relative strength index below 65 with an industry concentration measure above 70% or below 20%, plus a dividend payout ratio above 25% for 2019. The post frames the approach as combining a technical condition with a…
This research summary considers when event-driven stock signals should be represented as factors within a broader multi-factor model. It cites analyst recommendations, institutional research visits, and restricted-share unlocks as events that may contain…
This document outlines a Chinese stock screen combining a reported increase in buying activity, Shenzhen main-board membership, valuation limits, and a positive but capped 10-day return. It also specifies price-to-earnings and price-to-book ranges. The…
The document explains practical definitions for three functions used in the Guotai Junan Alpha191 factor set. Count is illustrated as summing a binary condition over a rolling window, such as counting days when the current close exceeds the previous close.…
This model seeks to rotate between Chinese equity growth and value styles, represented by high and low price-to-earnings indices. It combines six signals drawn from technical conditions, domestic and overseas liquidity, and periods when equities may be…
The proposed stock screen combines three criteria: today's accumulation share above 5%, positive institutional activity, and a dividend ratio above 25% for 2019. The post interprets these as indicators of buying interest, institutional participation, and…
This Chinese equity screening example combines a volatility condition, a historical dividend yield condition, and a price-versus-moving-average condition. It selects stocks whose daily high-to-low amplitude exceeds the stated threshold, whose 2019 dividend…
This brief Chinese equity strategy rebalances on the first trading day of each month. It excludes stocks designated as special treatment, as well as listings on the STAR Market and Beijing Stock Exchange, then selects the 30 stocks with the smallest market…
This document describes a Chinese equity screen combining turnover, year-over-year net profit growth attributable to parent-company shareholders, and a quality-company classification. The stated criteria are turnover between 3% and 12%, profit growth above…
This Chinese equity screening approach ranks stocks by a capital-strength measure, described broadly through indicators such as turnover or volume ratio, then applies two filters: a 2019 dividend ratio above 25% and a tradable share float no larger than 5.5…
This post outlines a stock-selection idea combining three filters: a dividend payout ratio above 25% for 2019, positive returns, and ranking by capital strength, which it describes through measures such as turnover or trading value. The rationale is to…
This screen selects Chinese equities with a market capitalization below 10 billion yuan, positive net profits over the prior three years, at least two limit-up sessions within 500 days, and a 14-period RSI below 65. The combination is presented as a way to…
This A-share stock screen combines a dividend payout ratio above 25% in 2019, strong capital flows ranked from high to low, and simultaneous upward crossovers in three technical indicators. The article gives Bollinger Bands, moving averages, and MACD as…