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-selection rule filters for a high–low range above 1% of the high, a closing price of exactly 18.5 yuan, and circulating market value of at least 10 billion yuan. The document includes example selection logic and sorts qualifying names by trading…
This stock screen combines a daily range condition with sustained profitability and a momentum indicator. It selects shares whose high–low range exceeds an ATR-based threshold, whose return on equity stayed above 15% across five years, and whose 14-period…
This weekly Chinese equity research note reviews long-short screens built from high-frequency and technical factors. The listed signals include return skewness, downside volatility share, opening-period buying interest and large-order flows, reversal,…
This article reviews global equity factor performance in the third quarter of 2021 and compares defensive factor positioning. It reports that momentum and low residual volatility led the pure factor results, while liquidity lagged. Regional index outcomes…
This article reviews global equity factor performance in the third quarter of 2021 and compares defensive factor positioning. It reports that momentum and low residual volatility led the pure factor results, while liquidity lagged. Regional index outcomes…
This Chinese-language article describes an equity screen for Shenzhen main-board stocks associated with the metaverse theme. It selects stocks with a positive return, positive price-to-earnings and price-to-book ratios, and upper bounds on both valuation…
This document presents a Chinese equity screen for Shenzhen Main Board stocks, combining turnover from 3% to 12%, circulating market capitalization from 5 billion to 10 billion, price-to-earnings ratio from 0 to 29.01, and price-to-book ratio from 0 to 3.11.…
The post proposes screening Chinese equities for elevated daily range, at least one daily gain of 10% or more during the past 25 trading days, and a pre-open price change below 6%. It then extends the screen with company and industry comparisons, including…
The article explains Active Fundamental Performance (AFP), a measure intended to identify mutual fund managers who select stocks well on fundamental information. For each fund, it computes the covariance between benchmark-adjusted portfolio weights, or…
This proposed stock screen combines three signals: a historical dividend payout condition, high capital-flow intensity, and low concentration of those flows. The article interprets the flow measures as indicating substantial but broadly distributed inflows,…
The document explains the price-to-earnings ratio as a measure of a share price relative to earnings per share. It defines the ratio using current share price and earnings per share based on the prior year’s net income and share count, then illustrates the…
This document describes a daily Chinese equity screen that ranks stocks by free-float market capitalization, turnover rate, and closing price, combines the rankings into a composite score, then selects the lowest-ranked names. It filters out…
This stock-selection approach combines a reported buying-activity measure with valuation limits and an upward-sloping 30-day average. It targets Shenzhen main-board shares whose price-to-earnings and price-to-book ratios fall within stated ranges. The…
This note describes an A-share stock screen combining three conditions: price amplitude above 1, a rounded or arc-like price pattern, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. It…
This research digest summarizes three studies. The first compares earnings announcement returns (EAR), which capture market reactions to unexpected information in company results, with standardized unexpected earnings (SUE). It reports annualized long-short…
This stock-selection rule combines a 14-period RSI below 65, year-over-year growth in net profit attributable to shareholders between 20% and 100%, positive net profit, and a share price below 18.5 yuan. The post presents the screen as a way to find Chinese…
This assignment describes building a stock strategy from four factors, including small market capitalization and turnover. The author used a provided template and AI assistance to implement a linear regression strategy, then packaged three models as options…
This Chinese equity screening strategy ranks stocks using cross-sectional measures of circulating market capitalization, closing price, and earnings per share, then combines the ranked factors into a total score. Its stated filters exclude special-treatment…
This report examines two style-allocation ideas for Chinese equities: rotating between value and growth using value spread, and reducing market exposure to systematic risk through low-beta investing. It argues that value spread tends to revert toward its…
This note outlines a workflow for creating an AI-assisted stock selection strategy. It recommends combining signals about the broad market, industry groups, and individual stocks rather than relying on a single factor. Example inputs include index returns…
The response explains how to structure a multi-stock, multi-date dataset for a multiple regression of stock returns on factors. Each stock on each date forms one observation: the return is the target variable, and that stock-date’s factor values are the…
This account describes a BigQuant assignment that applied linear regression and XGBoost within a rolling-training strategy, then compared their backtest returns. The author reports annual returns of 30% for linear regression and 52% for XGBoost, but provides…
This post describes a Chinese stock selection screen combining daily price movement, a weekly MACD condition, a low nominal share price, and a price-to-earnings filter. Its final stated rules require amplitude above 1, a positive weekly MACD histogram, price…
This post proposes screening Chinese equities for companies with market capitalization below 10 billion yuan, no losses, and share prices below 18.5 yuan. It also suggests ranking candidates by capital-intensity measures such as turnover and volume ratio.…