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This study treats a convertible bond as combining straight-bond value and embedded equity-option value, and examines how bond returns relate to the underlying stock. It reports positive return correlation across conversion-status groups, with average…
The document describes a stock-selection research task: detect a recent unusual move, then retrieve that event day’s opening price for use in a later buy condition. The example defines an event as trading volume more than twice the previous comparison value…
The document introduces the Key Reversal technical indicator and names its inputs: closing, high, and low prices, along with lookback lengths and a day parameter. Its pseudocode defines a lower band from the lowest low over a selected window and an upper…
The document gives a brief overview of artificial intelligence, from the field’s origins to its wider adoption as data, computing hardware, and algorithms advanced. It describes AI as systems that model aspects of human reasoning and notes its use in…
The article outlines a workflow for reconstructing and simulating a Chinese public fund’s equity holdings. It scrapes disclosed stock codes and portfolio weights for a China Merchants CSI 300 enhanced index fund, then assumes quarterly rebalancing: the…
The research note introduces APB, a stock factor intended to estimate buying and selling pressure from the relationship between price and volume. It defines the measure as the logarithm of the ratio between an equally weighted average price and a…
This report summary compares two ways to classify the investment style of equity funds for fund-of-funds research. Holdings-based analysis infers style from reported portfolio positions, while returns-based analysis infers it from portfolio performance.…
This brief BigQuant forum answer addresses how to inspect the holding date for a particular stock position during a backtest. It points to retrieving the position from the backtest context by instrument and reading the position’s last sale date. That date…
The document summarizes research on stock resiliency, labeled RES, as an expanded measure of liquidity. The cited study examines whether stocks with greater illiquidity earn a return premium, using resiliency as an additional measure alongside conventional…
This daily futures strategy uses Bollinger Bands to signal directional trades when the close reaches or crosses an outer band. The middle band is an N-period simple moving average of closing prices, with upper and lower bands set by adding or subtracting K…
The note explains why a stock’s closing price shown on a quantitative trading platform can differ substantially from the price shown by a brokerage or market-data app. The platform adjusts historical price data to account for corporate actions, so the…
This empirical study adapts the Fama–French five-factor framework to China’s A-share equities. It constructs market, size, book-to-market, profitability, and investment factors from monthly stock data, then forms size-sorted portfolios crossed with…
This discussion addresses a strategy that runs successfully in backtesting but fails during a simulated live trial. A suggested cause is a missing-data processing step that removes every row because one or more columns contain empty values. The proposed…
This literature note summarizes research on whether individual investors favor mutual funds that have recently produced unusually large positive returns. The study defines a fund-level MAX measure of extreme gains and reports that funds with higher MAX…
This MetaTrader 5 expert advisor is designed to manage account equity and individual open trades, then place a grid of pending orders when price reaches a user-specified level. The trader must decide in advance where a grid would be appropriate; the EA does…
This research summary adapts Joel Greenblatt’s value-and-quality stock-ranking idea to China’s A-share market. It uses EV/EBITDA as a valuation measure and ROIC as a business-quality measure in place of the original formula’s measures. The described screen…
This report outlines a framework for studying rotation among five Chinese equity style pairs: large and small cap, value and growth, consumption and cyclical, financial and nonfinancial, and technology and traditional industries. It describes building…
This report summary describes three methods for rotating among equity industries using macroeconomic information. The first models industry excess returns from cyclical components of leading indicators spanning growth, inflation, trade, and liquidity. The…
This research review examines whether sell-side analyst output matters more during economic downturns, when uncertainty makes company valuation harder for both analysts and investors. Drawing on earnings forecasts and stock recommendations over several…
This study examines holdings reported by institutions using the Stock Connect channels into mainland China, comparing static position and daily increase factors. It reports that Morgan Stanley Hong Kong Securities had stronger historical information…
The document compares Rust with C++, Java, Python, and Go for quantitative trading systems. It presents Rust as a way to reduce certain programming errors and support production debugging, while claiming that it offers performance close to C++, can use less…
The report proposes left- and right-tail conditional value-at-risk factors from intraday stock returns. For each stock, it describes measuring the average returns beyond the lower and upper 5% quantiles, then averaging daily values across a 20-trading-day…
This article argues that a sharp bullish candle during a decline should be judged by the likely position and cost basis of the buyers behind it, rather than by candle size alone. It proposes a “3D” screen for small, low-float, low-priced stocks after a…
This article proposes reading a stock’s volume ratio together with its turnover rate to assess changes in trading activity. It assigns interpretations to several combinations: turnover above 5% with a volume ratio of 2–3 as an early activity signal; turnover…