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.
21,023 documents
This Chinese equity screen selects companies outside the STAR Market with market capitalization below 10 billion yuan, no reported losses, and a 14-period RSI below 65. The article includes a sample Python implementation using historical prices, market…
The document explains why a stock filter set to the CSI 500 can return fewer securities than the index membership count. In the cited example, the filter is applied to a particular date, and some constituents were suspended, leaving their five-day return…
This forum report describes a suspected data-alignment problem in a Chinese equity research workflow. The author adds an opening-price feature and a forward-shifted version to a strategy, then finds that the shifted values appear incorrect on particular…
This indicator estimates expected intraday volume by comparing a bar with volume recorded at the same time on prior trading days. It calculates a mean across a configurable number of observations and plots that estimate alongside upper and lower bands one…
The document presents an equity screen combining daily amplitude above 1, a rounded price shape, and previous-day turnover above 8%. It says the amplitude condition is intended to find shares with meaningful trading activity but limited price fluctuation,…
The document summarizes a study that applies multiple machine-learning algorithms to a broad set of return predictors in Chinese equities. It highlights differences from earlier United States research: liquidity ranks as a particularly important predictor in…
This indicator searches price history for clusters of candles occupying a similar price range and marks qualifying levels as support or resistance. It first excludes bars it considers unusually large, then looks back for other bars in the same zone. When…
This collection of answers addresses common quantitative investing problems, including fixed-holding-period backtest sensitivity, judging factor data, evaluating strategies that fail live, factor development, market timing, and combining signals across…
The report compares methods for estimating stock-return covariance matrices for Chinese equities. It explains that when there are many stocks but relatively few return observations, sample covariance estimates can be noisy and numerically unstable for…
The Climatic Volume X indicator flags a candlestick when its volume exceeds a chosen multiple of the average volume over a lookback window. For each flagged bar, it can display the relative-volume reading and draw horizontal support and resistance guides…
This report reviews the Shanghai Composite as a broad measure of companies listed in Shanghai and discusses changes to its index rules scheduled for July 2020. The changes add STAR Market listings, delay new stock inclusion, and remove specially risk-warned…
This note describes a Chinese equity screen combining daily price range, large-order net flow ranking, a market-cap ceiling, and positive earnings. Its stated aim is to identify smaller companies with market activity while retaining a basic profitability…
The document combines two research summaries. The first explains how target-date fund allocations can account for retirement spending as a liability alongside financial assets and human capital. A liability-aware optimization framework treats…
The document presents a Force Index indicator smoothed by filtering higher-frequency components in its spectrum. It describes a general technique that can also be applied to other indicator series, with the stated advantage of practically zero latency. The…
This compilation presents three quantitative finance topics. First, it reports that news frequency and tone are associated with stock return jump likelihood and jump size characteristics. News frequency appears especially important for jump probability, and…
The report asks whether property-level real estate returns can be explained by style characteristics in addition to property type and location. Using quarterly data on more than 25,000 UK retail, office, and industrial properties from 2002 to 2020, it…
The article examines whether momentum and long-term reversal reflect changing exposures to priced risks rather than standalone return patterns. It tests whether past returns predict future realized betas, then uses an Instrumented Principal Component…
This stock selection screen combines a turnover range of 3% to 12%, a reversal pattern described as a bullish engulfing or recovery move, and a 10-day return above zero but below 35%. It is presented as a way to find Chinese equities with recent activity and…
The document briefly describes an oscillator formed from an averaged difference between a FATL digital filter and the closing price. It identifies the indicator as a technical-analysis tool and notes that its implementation relies on smoothing-algorithm…
This brief Q&A explains ways to label stock price-limit events in a strategy workflow. For a one-price limit-up session, it suggests identifying a bar where the next period’s high and low are equal, then using that condition to assign a label. This is a…
This brief BigQuant forum exchange addresses how to construct a custom factor when it is not available as a precomputed field. The question proposes an expression combining single-quarter revenue less single-quarter cost, divided by average total assets over…
The document describes Zero Lag as a modified exponential moving average. Its recurrence adds a gain-scaled difference between the current close and the previous Zero Lag value to the usual smoothed calculation. The gain is selected within a user-defined…
This Chinese-market stock screen combines a beverage and alcohol industry filter with a turnover range of 3% to 12% and a holder-concentration condition described as below 20%. The article presents the criteria as a way to narrow candidates, then gives…
This indicator calculates volume-weighted average price from a user-selected calendar date, allowing a chart reader to track the average traded price since a chosen event. The article suggests anchoring it to a recent price gap on a daily chart to inspect…