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 report overview describes Vanguard’s growth, product mix, and emphasis on keeping investment costs low. It presents historical figures for assets, product counts, investor reach, and average fees, and discusses the firm’s expansion into ETFs and…
This essay contrasts three broad approaches to investing through Warren Buffett, George Soros, and James Simons. It describes Soros’s reflexivity framework, in which investor beliefs can move prices and price changes can then reinforce those beliefs. Buffett…
This essay presents five principles for discretionary and system traders: focus on the traded price rather than attaching to an investment label, treat each position as an uncertain wager, respond through a plan instead of trying to forecast every move,…
This study summary examines whether index futures information can improve high-frequency technical trading rules for Chinese index ETFs. It uses genetic programming to evolve rules from five-minute price data for CSI 300 and CSI 500 ETFs and their…
This analysis estimates how difficult it is to earn excess returns by allocating among industries. It simulates quarterly selections of Chinese industry groups over 2005 Q1 through 2018 Q1. In the random-selection tests, portfolios choosing five industries…
This introductory guide compares two versions of a quantitative data platform and outlines programming skills for building research workflows. It describes the newer platform as using SQL for data access and calculations, while the older version uses a…
This note describes a method for splitting a stock’s recent trading days by average transaction value, calculated as daily traded value divided by trade count. Over an even-length lookback window, it ranks days by this measure, sums returns for the…
This study examines whether U.S. equity mutual fund managers adjust market exposure when stock misvaluation is unusually high. It measures common misvaluation with a financing-based factor that buys repurchasing firms and sells issuing firms, then removes…
The document summarizes a position-sizing method derived from a drawdown adjustment lemma. It describes a strategy that uses observed data to adjust market exposure toward a chosen drawdown tolerance, without relying on future prices. A related index-timing…
This support post reports a KeyError during a Chinese equities factor analysis. The example defines an operating cash flow growth factor, selects the CSI 300 universe and benchmark, and requests ten portfolio groups. The failure occurs when the analysis…
This report describes combining individual-stock timing with multi-factor stock selection in a T+0 strategy. It uses deep-learning ideas to reduce a multidimensional space of parameter settings and win rates, then examines how performance changes across…
This report compares machine-learning stock-selection models trained with conventional return labels against models using information ratio or Calmar ratio labels. The alternative labels incorporate aspects of the path within the evaluation period, including…
This research summary examines why analyst earnings forecasts can vary widely and how that dispersion relates to subsequent stock returns. It focuses on the possibility that companies delay disclosing bad news, leaving analysts with incomplete information…
This brief outlines a stock-selection approach that first looks for shares with recent market activity, checks for changes in capital flows, and applies multiple factors. It presents these as broad screening ideas rather than a fully specified trading…
This explanation describes a factor evaluation score derived from rolling Elastic Net regressions that include all submitted factors together. The model predicts each stock’s next-day return after cross-sectional standardization, fits on rolling windows, and…
This page summarizes a research report on high-frequency factors derived from intraday trading activity. Its central idea is to select particular time windows within a trading day, calculate each window’s traded volume as a share of the day’s total volume,…
This article reviews an international study of whether mutual funds benefit when their investors are less exposed to the same market shocks as the stocks held by the fund. It describes two measures: whether sales and investment countries differ, and an…
This systematic literature review summarizes research on artificial intelligence in financial trading published from 2015 to 2023. It reports screening 143 papers across multiple research databases and compares the markets and assets studied, analytical…
This review summarizes research comparing the returns of published stock market anomalies before and after academic publication. The study examines 241 anomalies across the United States and 38 international markets, constructing long-short returns and…
This research summary examines residual momentum, also called idiosyncratic momentum: a stock’s return after removing shared market influences. It reports that, in China’s A-share market, stronger residual returns in the prior period are associated with…
This paper summary describes an online learning method based on adversarial experts for selecting parameters in a zero-cost portfolio of technical trading strategies. The method combines a collection of historically tested strategies and studies their…
The document summarizes research on an adversarial-experts online learning algorithm that adjusts parameters for a zero-cost portfolio of technical trading strategies. The approach combines a collection of strategies into an aggregate portfolio and studies…
This opinion essay argues that individual investors should be cautious about short-term stock speculation as algorithmic trading becomes more prominent. It attributes the challenge to faster execution and competition from technically sophisticated firms, and…
The article advises individual equity investors to trade less frequently, favor larger and more stable companies over small speculative stocks, and follow explicit risk rules. Its suggested practices include avoiding fully invested positions, setting profit…