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
The document discusses how to evaluate a stock factor using portfolios formed by sorting stocks on factor values. In a long–short comparison, the return spread is calculated between the group ranked highest by the factor and the group ranked lowest by the…
This discussion concerns adapting a stock-ranking template to use financial factors in a machine-learning strategy. The author describes a forward-return label based on buying at the next day’s open and selling at the close five trading days later, then asks…
The document presents a Chinese equity selection model that combines longer-term valuation measures with short-term trading signals. Its fundamental filters use price-to-book value and net assets per share. Technical inputs include large-order net buying…
The document describes a proposed equity screen that starts with executive share-change announcements and then ranks eligible stocks using multiple factors. At each rebalance, the investor would look for relevant announcements published between the current…
This Chinese A-share screening example starts with stocks priced below a stated threshold, with daily amplitude above a stated level, while excluding Beijing-listed shares. It then proposes a more elaborate version that adds fundamental eligibility, a rising…
This post proposes a rule-based screen for Chinese A-shares that combines three characteristics: classification in the metaverse industry, circulating share capital no greater than 5.5 billion shares, and a principal business related to beverage and alcohol…
The document proposes a Chinese equity screening rule that selects companies with an amplitude above one, ranks them by the day’s auction amount, keeps the top five, limits market capitalization to below 10 billion yuan, and requires positive net profit in…
This research summary explains why correlated stock-selection factors can make portfolio exposures difficult to control. Factor correlations can vary over time, so even an equally weighted combination may carry an unintended concentration in a factor such as…
This document describes a Chinese equity screen combining daily price amplitude, a measure of controlling shareholder activity, company listing age, and fundamental valuation filters. The final criteria require amplitude above 1, controlling activity above…
This Chinese-language post outlines an equity screening idea that combines a price amplitude threshold, exclusion of stocks that hit the daily limit on the previous session, and a filter based on company characteristics. Its example treats positive valuation…
The report summary describes an equity liquidity factor built from the magnitude of short-term price moves and how long liquidity shocks persist. Its approach uses relationships between two intraday price stages to measure liquidity effects, while using…
This note reports results for five related quantitative factors. The starting signal standardizes the ratio of trading volume to turnover. Variants combine it with 20-period close-price variability, a momentum-style calculation based on recent price changes,…
The document summarizes a report comparing the historical performance and future prospects of index funds and actively managed funds. Its stated takeaway is that their past performance showed no clear overall winner. A slight historical advantage for active…
The document poses a model validation question rather than giving a complete answer: after training a multi-factor model on historical data and evaluating it on a later year, should a trader deploy that fitted model or retrain it on a newer rolling window?…
The document outlines a framework that combines monetary and credit conditions to time Chinese equities and bonds, then adds momentum, oil, or inflation signals for commodities, equities, and bonds. It argues that monetary policy can lead markets because of…
This research summary examines whether detrended cumulative equity factor returns show cyclical behavior and whether macroeconomic cycles can help explain it. The proposed framework represents three cycles associated with Kitchin, Juglar, and Kuznets…
The post outlines a backtest universe and screening approach for an A-share strategy. It uses the Shanghai Composite as its benchmark and excludes suspended stocks, special-treatment stocks, and recent listings. The remaining stocks must meet filters for…
The document proposes a stock screen combining a daily range threshold, five consecutive years of return on equity above 15%, and a close above the prior day’s low. It then expands the screen with net profit growth above 10% and a price-to-earnings ratio…
This Chinese-language post discusses a small-cap equity strategy whose apparent style changed from small-cap exposure to liquidity exposure over a short period. It argues that factor premia are time-varying and that a strategy labeled as small-cap may earn…
This post proposes an equity screen that combines daily price amplitude above a threshold, afternoon large-order net inflow, and revenue growth measured by comparing revenue in two stated years. The intended logic pairs market activity with a fundamental…
The document examines why ESG ratings from different providers can disagree, citing differences in factor definitions, data sources, weighting, and treatment of missing disclosures. It warns that ratings may reward companies with greater reporting resources…
This post describes a daily pre-market screen for Shenzhen mainboard stocks. It combines a MACD condition above the zero line with a share price ceiling and bounded price-to-earnings and price-to-book ratios. The accompanying discussion frames the filters as…
This community post presents a China A-share daily selection idea centered on stocks in the CSI 500. Its stated filters include concentrated shareholder holdings, a close above the 20-day moving average, positive earnings, and ranking by smaller market…
This document describes an A-share strategy that rotates among industries according to a market-regime indicator, then selects stocks within chosen industries using four factors emphasizing short-term reversal and low attention. The regime indicator is used…