I do know strategy is known as "ce lue 策略" in chinese while strategem is known as "ji mou 计谋 " in chinese. Both seem to have the same meaning (somewhat like a military plan), but I'm sure there are differences.

Does anyone know what is difference between Strategy and Stratagem?

Probably like the difference between strategy and tactics in English. One is overall campaign plan, the other is the battle itself.

From dictionary.com, the definition are as follow:

Strategy

The science or art of combining and employing the means of war in planning and directing large military movements and operations.

Stratagem

A plan, scheme, or trick for surprising or deceiving an enemy.

I guess, stratagem always include deception and is always a plot. Strategy can include stratagem (but not necessarily involves deception), it's more like overall plan.

Here is what Wikipedia says about the difference, translated by Google

Both strategy and its sister term stratagem comes from the Greek and originally meant there army management (Greek, Στρατηγική, στρατός = army, I do άγω =). A strategist in ancient Greece was an elected military leader. Strategy and stratagem, however, describe different content and nuances and can be found in different cultures different applications and acceptance.

Stratagem
A stratagem (also stratagems or Stratagem) (Greek στρατήγημα) describes a ruse, a trick or a manipulative trick in the political, military, business or private life. The success of strategies or strategic planning is not only in knowledge about the project and the approach, but also in the use of a List, a trick, a surprising moment or a crucial idea, ultimately the strategy more successful than the competition or the opponent . Especially in the Asian region are stratagems as part of or heart not only of strategies, but also clearly spelt out. Stratagems may, within a strategy, but also "only" weapon to apply. See also: 36 Stratagems

Strategy
Strategy and tactics are closely linked: Both are aimed at the correct use of certain funds in time and space, with a strategy in general applies to a major goal, while tactics and the way the measures, short-term interim goals.

Strategy is the "big plan for everything" or the "basic pattern of acts". This plan can be a vision or mission (economic), gaining a majority or of power (policy) or a military target defined. A strategy is often the medium to long term.
As a tactic (military) is the leadership of the military troops in the battle, so the direct nature of the use of armed forces in a battle. In political and economic contexts describes tactics measures and acts, with the resources given short-term or medium-term objectives.
Practical examples: basic attitudes in the military, economy, politics or games and sports, for example, can be good in attack strategy, defense strategy or conquest strategy classify. Tactic involves short-term measures and immediate reactions, such as the peasant victims in chess, the tactical foul in football or the tactical Trick. Tactic can also apply, without a strategy.
Strategic action is a focused approach to a long-term plan.
The process of preparing a strategy called Strategic Planning.

So it seems that both it the same with little nuances.