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 Chinese equity screen combines a technical condition with earnings growth and a price-structure filter. It selects stocks with a 14-period RSI below 65, parent-company net profit growth above 20% and at most 100%, and a rising-low pattern. The post…
The document proposes an equity factor combining turnover with changes in shareholder counts. It first scales shareholder change by the total shareholder count, aiming to reduce the influence of differences in company size. It then applies a signed…
This Chinese-language post outlines a stock-selection screen for Shenzhen main-board listings. It combines an amplitude threshold above 1, exclusion of ST-designated stocks, selection before 10 a.m., and a “five-part limit-up” condition with…
The proposed screen selects stocks in the metaverse industry that show a rounded-base price pattern and have 2021 revenue more than 1.1 times 2018 revenue. It combines a chart formation with a multi-year revenue comparison, intending to identify companies…
The report introduces unsupervised learning, focusing on dimensionality reduction and clustering for financial analysis. It describes factor analysis and principal component analysis as ways to compress many stock or bond characteristics into a smaller set…
This Chinese-language research digest introduces two overseas studies in quantitative stock selection and timing. The first examines factor timing empirically, asking whether investors can adjust factor exposure over time, and discusses the challenges and…
This document describes an A-share stock screen that combines trading activity, earnings growth, and a short-term price condition. It selects stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company…
This research summary outlines a progression from single-factor IC and IR analysis toward attribution in machine-learning models and causal analysis. It says IC and IR are foundational for traditional multifactor research but do not capture interactions…
The post outlines an equity screen for companies classified under the metaverse theme. It combines a volume-ratio band with a circulating market-cap range, then proposes limiting the price-to-earnings ratio as an added valuation filter. The stated rationale…
The post proposes a stock screen combining daily price range, five years of return on equity above a threshold, and high turnover on the previous day. It presents the turnover condition as a way to focus on more actively traded stocks, then notes that high…
The document describes monthly stock-selection factors built from news sentiment. Summing a stock’s monthly article sentiment scores combines the direction of coverage with its volume, while averaging scores captures sentiment without the same direct…
This post presents an equity screen for companies with positive earnings, market capitalization below its stated ceiling, and parent-company net profit growth within a specified range. It also requires price amplitude above a threshold, using recent price…
This report examines how corporate tax figures relate to business performance and how tax accounting differs from tax cash flows. It distinguishes tax payable, income tax expense, taxes and surcharges, deferred tax assets or liabilities, and cash taxes paid.…
This post outlines a Chinese equity screening rule combining a daily high–low range above one percent, market capitalization below 10 billion yuan, positive earnings, and exclusion of Beijing-listed shares. The expanded rule specifies positive net profit in…
This report applies dynamic drawdown control to an enhanced equity strategy based on GARP, combining valuation and growth ideas. It describes using relative price strength (RPS) to adapt the drawdown-control signal to the market’s relative strength, with the…
This report outlines a strategic and tactical framework for multi-asset allocation. Strategic allocation favors assets with relative strength over a medium-term horizon, while tactical timing adjusts asset weights according to changing conditions. The…
The document proposes a Chinese equity screening rule combining daily price amplitude above 1%, membership in a robotics concept group, circulating market capitalization below 10 billion yuan, and weekly MACD above zero. It frames the screen as a blend of…
This stock-selection rule screens companies associated with the metaverse theme using a volume-ratio band, a short-term price-change range, and a positive price-to-earnings ratio below a stated ceiling. The post gives both an indicator-style selection…
This article describes a China-focused stock screen combining liquidity, earnings growth, and company age. It selects stocks with turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and up to…
The document introduces factor-based stock selection and groups factors into company fundamentals, external conditions, and market behavior. It surveys classic models, including Fama–French, Carhart, and other factor sets, and explains that there is no…
This Chinese-language Q&A covers practical questions about equity factors, model templates, backtest assessment, and trading tools. It names market capitalization, turnover, momentum, quality, valuation, growth, and profitability as commonly used factors,…
The report evaluates 16 technical factors previously identified in research as significant and independent, testing their performance in China’s A-share market. Most fare poorly in the study. Five factors—DOWNILLIQ, UPILLIQ, NCSKEW, DUVOL, and IVmonthly—show…
This Chinese research summary explores using data-mining models to time factor exposure and rotate among equity factors. It describes random forests conditioned on external market variables to assess when factors may be effective, alongside approaches that…
This research note summarizes tests of profitability and earnings-quality factors. It reports examining 14 profitability factors, with two additional measures of return on assets and return on invested capital calculated using EBIT. Factor effectiveness is…