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 presents a stock screen combining a daily amplitude threshold, a positive weekly MACD signal, and valuation limits for price-to-earnings and price-to-book ratios. It describes the target universe as Shenzhen main-board stocks and gives example…
This article explains how to assemble historical Chinese A-share index constituents and daily price data for multi-factor research in VeighNa, using the Xuntouyan data service. Its example follows the CSI 300 over a stated historical date range. It first…
This article explains how to configure an older BigQuant workflow to analyze alpha expressions in a manner modeled on WorldQuant’s WebSim. Users specify a factor expression and set the stock universe, data delay, linear decay, market or industry…
This stock selection rule filters for turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and at most 100%, and market capitalization of at least 200 million. The document gives example…
This research summary argues that standard single-factor information coefficient tests may not reflect index-enhancement practice. A factor’s performance in a broad shared universe may not transfer to a benchmark’s eligible stocks, and simple tests may omit…
This report summary examines ways to improve measures used to monitor crowding in Chinese equity factors. It focuses on pair correlation and factor volatility, two of four measure families previously tested alongside valuation spreads and long-term return…
The proposed stock screen combines a technical condition, a fundamental growth filter, and a price trend condition. It selects shares with RSI below 65, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at most…
This analysis examines whether rapid growth in passive investment products coincided with weaker alpha strategies in the United States and China. It describes US passive funds, including index mutual funds and ETFs, and reports that their assets and share of…
This brief BigQuant support note addresses a log message saying that a factor cannot find its dependent data. The reported issue is not missing factor metadata: the expression appears to place two factor names, close and average turnover, next to each other…
This research proposes choosing between industry-level timing and within-industry stock selection based on how dispersed individual stocks are and how much the industry moves relative to the market. It classifies industries into timing-oriented and…
This stock-selection approach combines a daily price-range condition, a weekly moving-average condition, and a profitability filter. It seeks shares with an amplitude above 1%, a weekly five-period moving average crossing above the ten-period average, and…
This post proposes a Chinese stock screen for companies associated with both the metaverse and robotics themes. It also applies a free-float size ceiling and a circulating-market-value limit, and the sample screening conditions exclude companies from…
This proposed daily pre-open screen selects Chinese stocks whose MACD is above zero, whose price-to-earnings ratio is positive, and whose circulating market capitalization exceeds 10 billion yuan. The post presents the MACD calculation and describes using…
The post presents a Chinese A-share screening idea: select stocks reported as receiving increased holdings from social security funds, China Securities Finance, or Central Huijin. It identifies the approach as based on a Supermind-compatible stock selection…
This stock-screening proposal combines three conditions: MACD above zero, positive trailing price-to-earnings ratio, and closing price above its five-day moving average. The accompanying rationale treats positive MACD as a sign of an upward trend, positive…
This report proposes treating effective factors and style factors differently when allocating across a multi-factor equity strategy. Effective factors rotate according to their relative strength, which the report seeks to explain using macroeconomic…
This China A-share strategy uses the stocks underlying all listed convertible bonds as its universe, on the premise that eligibility to issue a convertible bond helps screen for established companies. It ranks candidates equally on three cross-sectional…
This stock-selection approach combines a technical condition, a trading-flow measure, and a historical dividend criterion. It screens for RSI below 65, external trading volume relative to internal volume above 1.3, and a 2019 payout ratio above 25%. The…
The screen selects mainland Chinese stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at or below 100%, and no limit-up close on the prior day. It excludes ChiNext listings…
This article describes an A-share stock selection approach that uses XGBoost to combine Barra style factors, then examines whether selecting a smaller set of factors according to market conditions can improve the strategy. It compares three selection…
This stock-selection rule combines three conditions: daily amplitude above 1%, the current high matching the highest high over two days, and a positive price-to-earnings ratio. The document includes brief formula examples for each condition and sketches how…
This stock screen combines a daily price-range condition, an opening price near the 10-day moving average, and a history of return on equity above 15% for five consecutive years. The document gives example formulas for calculating the range and moving…
The document describes turning intraday order-book and trade data into monthly equity-selection factors. It introduces volume order imbalance (VOI), order imbalance ratio (OIR), and market price bias (MPB). MPB classifies trades by whether buyers or sellers…
The document demonstrates a simple cross-sectional factor evaluation for Chinese stocks. It queries daily records for 20-day average turnover and a five-day forward close-to-close return, then groups observations by date and calculates the Spearman rank…