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.
4,194 documents
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…
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 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 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…
This post describes an A-share stock screen combining three conditions: a measure of the day’s position increase above a threshold, three consecutive sessions with falling closing prices, and a dividend ratio above a threshold for a specified past year. It…
This Chinese stock-screening example ranks companies by capital-flow strength and combines that ranking with a historical dividend payout filter and revenue growth between 2018 and 2021. The initial criteria use a payout ratio above 25% and revenue in 2021…
This brief request proposes a factor based on the correlation between a benchmark’s returns and an individual stock’s returns over a three-day window. It names the intended inputs and lookback, but provides no code, worked example, explanation of how to…
This note outlines a screen for Chinese equities associated with the robotics concept. It combines turnover between 3% and 12%, floating market capitalization below 10 billion yuan, and a ratio of 2021 revenue to 2018 revenue above 1.1. The post includes…
This note explains how to handle low-frequency financial or analyst factors alongside daily price and volume factors when constructing nonlinear models. One approach is to merge monthly or quarterly fundamentals with daily market data and carry the latest…
This brief note describes a feature-selection exercise based on a random forest template. The author says they ranked 37 stock factors by random forest importance and retained the nine factors with the highest importance scores. The document does not…
This Chinese-language research summary discusses forecasting stock-selection factor returns after commonly used factors became more volatile. It focuses on screening timing variables with Lasso and Elastic Net regression, then extending factor timing with…
This research summary proposes measuring capital flows between large-cap and small-cap styles to identify when style investors are shifting allocations. It treats flow intensity as a signal of changing conviction and risk: when intensity is high, investors…
This Chinese A-share screening proposal combines daily price range, market capitalization, profitability, moving averages, and valuation. It seeks stocks with at least a one percent high-to-low range, positive net profit, market capitalization up to 10…
The submission contrasts discretionary and quantitative investing. It describes quantitative work as gathering and cleaning high-dimensional data, calculating factors, and using rules to make trades programmatically. It also suggests that machine learning…
The article challenges three barriers often thought to exclude individual investors from quantitative trading: advanced mathematics, coding skills, and large capital. It presents quant methods primarily as statistical tools for understanding markets, and…
This sector-rotation study uses the absorption ratio to measure how concentrated the risks embedded in a group of asset returns are. The ratio reflects the share of total return variation explained by a small set of orthogonal components: higher readings are…
This Chinese equity screening idea combines a technical condition with company size and earnings growth. It selects stocks with RSI below 65, a stated free-float market capitalization between 5 billion and 10 billion yuan, and year-over-year growth in net…
This Chinese-language post proposes a stock screen combining technical and company filters. It selects stocks with MACD above zero, a positive recent rise in the KDJ K value, and a favorable company classification. The accompanying formula also restricts…
This weekly review summarizes Chinese equity market conditions for the week ending April 3, 2020, then presents Haitong Securities’ market timing, factor, industry rotation, and strategy-performance views. Its evidence includes index returns, valuation and…
This brief BigQuant forum exchange concerns errors in a factor-analysis template when a factor’s coverage falls below the platform’s threshold. One concrete cause is division by zero: the expression using the difference between the high and close prices can…
The document describes a Chinese stock selection rule combining three filters: turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at most 100%, and a prior-day price condition described…