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 proposed Chinese equity screen combines three filters: membership in the metaverse theme, positive net buying by major participants during the opening auction, and a positive price-to-earnings ratio from the most recent quarter end. The article…
The document introduces quantitative trading as a rules-based approach that uses data and mathematical models to guide investment decisions. It contrasts this with discretionary judgment and describes discipline, systematic analysis across assets and data…
This post describes a Chinese equity screening rule combining price movement, company age, and earnings growth. It selects stocks with daily amplitude above 1%, at least three years since listing, and year-over-year growth in net profit attributable to…
This note describes a Chinese equity screening rule that combines a 14-period RSI below 65 with three consecutive down sessions and valuation limits for Shenzhen main-board stocks. The stated filters cap trailing price-to-earnings at 29.01 and price-to-book…
This QuantConnect algorithm ranks six U.S. equity style ETFs covering small-, mid-, and large-cap value and growth. It measures each ETF’s momentum over roughly twelve months of daily data, then takes a long position in the strongest style and a short…
The document argues that computing power can generate many candidate strategies from combinations of factors and rules, but that these candidates need research review before use. It outlines a screening process focused on avoiding look-ahead bias, detecting…
The screening rule selects Chinese stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose opening price is near the 10-day moving average. The accompanying explanation presents turnover as a liquidity filter and the…
The document discusses how industry-neutral portfolio constraints affect benchmark-enhancement strategies. Such constraints can reduce both annualized excess return and active risk, while the change in risk-adjusted performance depends on how much each…
The document describes an equity screen that first restricts candidates by turnover rate and circulating market value, then selects companies whose year-over-year net profit attributable to parent-company shareholders has grown by more than 20% and no more…
This April 2020 market-monitoring report summarizes Chinese equity valuations, turnover, investor sentiment, sector movements, capital concentration, and factor performance. It describes overall valuations as historically low, with consumption and…
This stock selection screen combines a price movement threshold, weekly MACD conditions, and positive price-to-earnings ratios. The stated rules require amplitude above one percent, weekly MACD above zero with its prior value above the signal line, and PE…
This Chinese stock-selection example proposes screening after the daily close for shares with an amplitude indicator above 1, institutional participation above 30, and a closing price below 12 yuan. It presents the combination as a way to find volatile,…
This Chinese Q&A collection covers practical topics in quantitative stock research and strategy deployment. It explains cross-sectional versus time-series ranking, preprocessing such as missing-value and outlier handling, neutralization and normalization,…
This stock-selection example combines three filters: association with the metaverse theme, a closing price above the prior session’s low, and return on equity above 15% for five consecutive years. The note interprets the theme as a possible growth indicator,…
This report summary compares high-frequency factors built from minute data for stocks and futures. It groups them into return-distribution, volume-distribution, combined price-volume, order-flow, and trend-strength measures. Examples include realized…
This overview explains how a multi-factor risk model represents an asset’s return through factor exposures, estimated factor returns, and asset-specific residual return. It describes the model’s use in portfolio risk calculation and its computational…
This post describes a simple single-factor approach for selecting Chinese equities. It first filters for companies whose latest year-over-year revenue growth is positive, then ranks eligible stocks by prior-year annual revenue divided by current market…
This note describes a two-dimensional factor analysis of a “smart money” signal in A-shares, grouping stocks by market capitalization and turnover. The author reports that the factor appeared useful only among medium- and large-cap stocks with lower…
The document explains the return series used in the Fama–French three-factor model: the market excess return, SMB, and HML. It describes the market factor as the market portfolio’s return above the risk-free rate, SMB as the return of a portfolio designed to…
The document implements a monthly long-only stock-selection approach based on historical volatility. It describes ranking large-cap stocks by the volatility of weekly returns over roughly three years, then holding an equally weighted group from the…
This report develops a fundamental stock-selection method for Chinese residential property companies. It argues that presold housing can make reported profits lag actual sales, reducing the usefulness of conventional income-statement measures. It therefore…
This summary of a Haitong research presentation discusses practical problems that arise when applying multi-factor stock-selection models. It observes that assumptions used in basic portfolio construction may fail in real settings, so models may need…
The document explains quantile regression as an alternative to ordinary least squares for modeling different points in a return distribution. Because it does not rely on the same normality and constant-variance assumptions, it may be useful with skewed,…
This stock screen combines a 14-period RSI below 65 with positive year-over-year growth in net profit attributable to parent-company shareholders, bounded above 20% and at or below 100%. It also requires a nonempty name for an outstanding convertible bond…