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Dokumentu skaits: 79,386
This roundtable transcript gathers views from Chinese investment managers, researchers, and futures professionals on the development of quantitative investing. Participants discuss the tension among scale, returns, and risk; the challenge of declining or…
This study develops two equity factors from the relationship between intraday volatility and the return-to-volatility ratio. The “rebuilding” factor uses the daily covariance between that ratio and volatility to represent cases where volatility rises without…
This weekly report compares machine-learning stock-selection portfolios across several Chinese equity universes: broad-market stocks without industry neutralization, broad-market selections neutralized to the CSI 300 or CSI 500 industries, and selections…
This stock screen combines a daily turnover range of 3% to 12%, a reversal or engulfing-style candle condition, and a stochastic K reading at or below 20. The article presents screening logic and sample indicator calculations: it derives ratios from the…
This brief note describes ExTrend_Cloud_HTF, a version of the ExTrend indicator with a timeframe setting. Users can select the chart period through an input parameter, with a four-hour period shown as the default example. The document says the indicator…
This indicator estimates buying and selling pressure from each candle’s range around its open. Buying pressure is defined as the high minus the open, while selling pressure is the open minus the low. Prevailing pressure is set to whichever of those two…
This document outlines an expert advisor intended for XAUUSD on a 15-minute chart. It combines RSI entry filtering with recovery entries spaced according to ATR, plus market-structure checks based on lower lows, lower highs, and support conditions. Position…
This note discusses market style and public mutual fund positioning in Chinese equities. It compares the share of CSI 300 constituents within the broader CSI 800 universe, reporting that the share was 81% at the time of the note. It also cites two recent…
This document describes a MetaTrader 5 script that opens a buy or sell position at the current market price and attaches a stop-loss and take-profit when placing the order. The stop-loss and take-profit distances are specified in pips, and the script also…
This proposed stock screen selects shares with an amplitude above 1, three moving averages in a bullish ordering, and a ratio of active buying volume to active selling volume above a threshold. The article names amplitude and moving-average indicators and…
The document introduces multiple linear regression as a model relating one dependent variable to several explanatory variables, contrasting it with simple regression. It connects the method’s broad use in quantitative finance with the progression from the…
This proposed A-share stock screen filters for companies with turnover between 3% and 12%, market capitalization below 10 billion yuan, and no losses, then selects stocks with daily returns from −5% to 2.6%. The accompanying formula and Python example…
This configuration defines a Qlib workflow for training a TabNet model on Alpha158 features for CSI 300 stocks, using Chinese market data and the CSI 300 index as benchmark. It sets a historical data window, separates fitting, validation, and test periods,…
This note outlines a Chinese equity screen that combines a minimum listing age, an amplitude condition, and return on equity above a threshold across five consecutive years. It explains ROE as a measure of profitability and capital use, and includes an…
This note describes a Chinese equity screen for companies in the metaverse theme, with a minimum floating market capitalization and price and valuation limits. Its final version adds a price-to-earnings threshold to the theme, capitalization, and low…
The described Expert Advisor seeks reversal trades by checking for divergence in RSI, MACD, and the Stochastic Oscillator. It uses a configurable minimum confirmation count, so a signal can require agreement from multiple oscillators rather than relying on a…
The Pollan indicator combines the Commodity Channel Index and Relative Strength Index by comparing their values across a fixed window of historical bars. It forms two oppositely oriented series from the CCI–RSI and RSI–CCI differences, with a coefficient…
The document describes a software implementation of the Johansen cointegration method for forming mean-reverting portfolios from asset prices. It computes cointegration vectors, orders them by eigenvalue, and converts each vector into hedge ratios normalized…
The document proposes screening Chinese stocks for a turnover rate between 3% and 12%, a ten-day gain above zero and below 35%, and a listing age greater than one year. It says to run the screen before 10 a.m. The stated rationale is to combine trading…
The document explains TWR as a candle-reconstruction indicator: it uses the previous bar’s color and the current bar’s close while disregarding other price information, then redraws the candle chart around closing prices. In its color convention, red marks a…
This short description outlines an Expert Advisor built to demonstrate a trading system using a ZigZag Fibonacci indicator. The indicator places Fibonacci levels and stores their corresponding price values in buffers, allowing an expert program to retrieve…
The document describes a short-term Chinese stock screen combining price range, recent trading activity, current volume, and a positive opening gap. Its stated criteria are amplitude above one, previous-day actual turnover between 3% and 28%, current volume…
The post proposes a stock screen combining a daily high-low range threshold, rising price lows, and return on equity above 15% for five consecutive years. Its rationale is to pair a technical sign of improving price support with a record of strong…
The document describes a tool for checking whether a trader’s actions and recent outcomes are associated with subsequent losses. It trains a neural network on eight features from closed trades, then reports validation accuracy relative to a majority-class…