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 stock-screening approach combines a technical filter with a company-quality condition. It selects stocks whose MACD is above zero, whose business or financial condition is considered sound, and whose price is above its five-day moving average. The…
This research summary describes a model for estimating the probability that large-cap stocks will outperform small caps over the coming month. It uses changes in short-term interest rates and broad-market volatility as leading inputs, with the aim of…
This Chinese equity screen combines three conditions: daily price range above a volatility benchmark, return on equity above 15% for five consecutive years, and a measure of current buying activity above 5%. The intended logic blends price movement,…
This report compares ways to construct and standardize equity factors from analyst consensus forecasts for expected return on equity, net profit, profit growth, and two-year compound growth. It recommends time-series standardization to create…
The document explains how genetic programming can evolve formulas from stock price and volume inputs to discover candidate equity selection factors. It outlines the evolutionary cycle of selection, crossover, and mutations, and describes adapting a genetic…
The report describes a stock-selection approach that forecasts the coming information coefficient of seven style factors, then adjusts their weights according to expected effectiveness. Its features include each factor’s historical information coefficient…
This report describes a Probit model for predicting Chinese listed companies likely to announce high stock dividends or share splits. It groups predictors into company characteristics such as share price, total share capital, and listing age; growth measures…
This event description outlines a defensive quantitative fund of funds approach built around diversification across asset classes. It proposes combining macroeconomic conditions—growth, interest rates, inflation, and credit—with market-level measures such as…
This A-share screening idea combines a technical condition with company growth and size filters. It selects stocks with RSI below 65, parent-company net profit growth above 20% and up to 100%, and floating market capitalization between 5 billion and 10…
The document introduces a static equity multifactor model built from three company-level factors: return on invested capital (ROIC), price-to-book ratio (PB), and price-to-earnings ratio (PE). It presents the model as an entry point for learning about…
This Chinese-language post describes a stock screen based on share-price amplitude, a price near 18.5 yuan, and a 2019 dividend ratio above 25%. Its final stated screen narrows amplitude to between 0.5% and 1%, while an earlier description says amplitude…
This A-share screening proposal targets stocks classified in the metaverse sector, excludes special-treatment stocks, and applies a morning price-change condition before 10 a.m. It also describes a five-year fundamental filter requiring revenue, net profit,…
This event announcement describes a session on using Cowork to build a quantitative market-timing process and apply it to a small-cap stock strategy. The proposed approach uses macroeconomic indices as timing inputs and presents a multi-factor timing…
This document describes an A-share stock screen combining a 14-period RSI below 65, year-over-year growth in net profit attributable to parent-company shareholders above 20% and up to 100%, and free-float market capitalization above 10 billion yuan. The…
This report explains a value-versus-growth rotation strategy built around the idea that returns can come from deliberate exposure to style factors as well as broad market risk. It links shifts in style leadership to investor sentiment and risk appetite,…
This review describes a Bayesian dynamic panel model for evaluating US mutual fund performance and its persistence. The model allows fund returns to have time-varying variance and covariance, cross-fund dependence, serial correlation, latent volatility, and…
This document summarizes Zhongtai’s annual outlook for 2022, presenting views on Chinese and U.S. markets, policy, liquidity, and sector opportunities. It anticipates gradual easing in China’s property stance without a full housing-cycle restart, a…
The report frames asset allocation as exposure to underlying risk factors rather than simply to asset categories. It distinguishes macro factors, which represent shared risks across asset classes, from investable style factors, which explain risk premia…
This A-share stock screen selects companies with turnover between 3% and 12%, parent-attributable net profit growth above 20% and no more than 100%, and return on equity above 15% for five consecutive years. The stated rationale is to combine trading…
This report consolidates tests of 78 factors across eight categories, comparing grouped portfolio returns, statistical independence measures, single-period and cumulative returns, t-statistics, and measures of return variability. It also examines…
The document describes a stock screen combining a metaverse industry classification, an arc-shaped price pattern, and a weekly five-period moving average crossing above a ten-period average. It then adds a PEG ratio below one as a fundamental filter, aiming…
This event description frames index enhancement as tracking a benchmark while seeking excess returns. It outlines a workflow involving single-factor screening, backtest construction, and parameter tuning, and presents a live demonstration that purportedly…
The report examines how index-enhancement funds generate returns above their benchmarks. It separates active returns into industry selection, stock selection within industries, and their interaction, then compares stock selection within index constituents…
This research summary examines industry exposures in existing multifactor stock-selection portfolios, tests how the model performs across sectors, and constructs industry-neutral long and short portfolios. It argues that sector imbalances can weaken…