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.
3,481 documents
This support thread explains that NaT represents a missing or invalid date value and describes a simulated trading failure in BigQuant. The reported traceback shows NaT reaching a date lookup in the data portal, followed by a comparison error between an…
The document describes APB, a family of cross-sectional stock factors intended to estimate buying and selling pressure from the relationship between price and trading volume. Its premise is that buying concentrated at lower prices and selling concentrated at…
This article presents four technical exit signals for stocks in an advancing market: a high-volume break below the 5-day moving average, a large bearish candle on heavy volume near a high, a new high reached on declining volume, and a break below the 10-day…
This research summary reviews portfolio optimization choices, including transaction-cost penalties, turnover and tracking-error limits, risk aversion, position bounds, style-factor exposure, and limits on the number of holdings. It explains that stricter…
The article discusses why a stock that closes at its upper price limit may open sharply lower the next day. It presents several possible explanations: short selling around the high, larger investors distributing shares into demand, or deliberately provoking…
This study reviews Chinese equity-oriented mixed funds over 2010–2020 and compares their performance with several domestic equity benchmarks across value- and growth-led market periods. It reports that the fund group’s relative results varied with market…
This weekly market note responds to weakening Chinese equity sentiment and increased uncertainty by reducing A-share exposure, adding interest-rate bonds and secondary bond funds, and increasing exposure to low-valuation and dividend factors. Its rationale…
The document introduces financial trading as buying and selling assets for investment, hedging, or gains from price changes. It surveys equities, bonds, derivatives, foreign exchange, physical commodities, and cryptocurrencies, noting that each market has…
The document answers a platform question about restricting an A-share strategy’s eligible stocks to listings on the Shanghai and Shenzhen exchanges. It recommends adding an A-share stock-filter module to the prediction set, then configuring the listing-board…
This report summarizes three active Chinese equity portfolio approaches. The fund enhancement strategy uses holdings of successful active funds as a starting point, then applies quantitative selection to seek improvement over the active equity fund…
This report introduces over-the-counter options as privately negotiated, nonstandard contracts and describes spread strategies built from multiple options on the same underlying. It names bull, bear, and butterfly spreads as examples. The central pricing…
The post shares a one-minute grid trading strategy that uses the prior day’s close as a center price and divides prices into bands. It opens an initial position, then changes holdings when the price moves between grid regions, subject to cash and…
This example describes a two-stock pairs strategy based on the assumed long-term relationship between securities. It regresses one stock's price on the other's, then standardizes the regression residual using its recent mean and standard deviation. When the…
The document discusses why high-frequency equity factors may appear strong in isolation but fail to improve stock-selection portfolios. Even after orthogonalization against common equity factors, a signal can have a high information coefficient and strong…
This Chinese language summary reports findings from a study of passive and active strategies across asset classes in the United States, United Kingdom, and Japan over a long historical period. It frames the analysis as useful because recent experience in…
The post reports a position-capacity discrepancy between simulated and live trading. A strategy was already fully invested on one day, yet generated another buy signal at the next market open. The author expected the simulation to reject the order for…
The document describes a Chinese equity strategy that screens for stocks trading below book value, excludes flagged or suspended shares and recent listings, then selects the smallest companies by market capitalization. It equally weights ten holdings and…
This article argues that trading outcomes are probabilistic rather than precisely predictable. It challenges confidence in trend-following technical indicators, asserting that their directional accuracy can fall below half, but gives no tests, sample…
The article summarizes research on whether mutual fund managers who begin their careers during economic recessions later differ in performance and investment behavior. Using a sample of U.S. actively managed equity funds and managers from 1990 to 2016, the…
A user asks how to calculate a five-month moving average for closing prices in a stock-factor table. The discussion contrasts a daily moving-average function, which accepts a number of observations, with a monthly average, which requires monthly data rather…
This research note studies return skewness as a cross-sectional factor for commodity futures. It tests long-short and long-only portfolios across all contracts, agricultural contracts, and non-agricultural contracts, then explores lookback choices, ATR-based…
This practitioner account explains how to translate a stock ranking model into daily trade lists and manual orders. The model ranks the stock universe, buys higher-ranked names, and prioritizes lower-ranked holdings for sale. The author describes how the…
This document describes a stock factor that combines the relative value of bid and ask liquidity across the first five order book levels with a short-term price trend. It sums price times volume on each side, converts the bid-to-ask value ratio into an…
This course-page description outlines a workflow for developing multi-factor investment models, moving from factor testing to evaluation and combination. It highlights checking whether factors are effective and stable, standardizing and neutralizing them,…